This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers...

This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers...

This paper evaluates persistence in the performance of institutional equity managers. We build on recent work on conditional performance evaluation, using time-varying conditional expected returns and risk measures. We find evidence that the investment performance of pension fund managers...

Introduction to empirical asset pricing -- Stochastic discount factors and yen -- State pricing and m-talk -- Maximization and the m-talk euler equations -- Expected risk premiums and alphas -- So many models, so little time (taxonomy) -- Applications of m-talk -- The three paradigms of...