We evaluate linear stochastic discount factor models using an ex-post portfolio metric: the realized out-of-sample Sharpe ratio of mean-variance portfolios backed by alternative linear factor models. Using a sample of monthly US portfolio returns spanning the period 1968-2016, we find evidence...

We perform an out-of-sample comparison of linear factor asset pricing models from an economic perspective under predictability. We assess the economic value added of several factor models when a Bayesian investor is faced with a portfolio allocation problem whereby each model imposes...

Some projects take time to build or are slow to yield cash flows. This may impact the dynamics of investment and liquidity management, although few studies test their financial implications. We exploit the peculiar advantages of copper mines as a laboratory to identify cash-flow sensitivities....