Performance attribution using a multivariate intertemporal asset pricing model with one state variable

The stock-pricing and market-timing abilities of Canadian mutual fund managers were tested using the Jensen (1968) and Lehmann and Modest (1987) tests. The benchmark was Chamberlain's (1988) conditional intertemporal asset pricing model (APM) with one state variable. Compared to previous tests...

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Bibliographic Details
Published in:Canadian journal of administrative sciences 1994-03, Vol.11 (1), p.75
Main Authors: Kryzanowski, Lawrence, Lalancette, Simon, To, Minh Chau
Format: Article
Language:English
Subjects:
CAPM
Consumption
Econometrics
Investment advisors
Management
Market timing
Mutual funds
Portfolio management
Portfolio performance
Regression analysis
Risk premiums
Scandals
Stock exchanges
Studies
Time series
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Summary:The stock-pricing and market-timing abilities of Canadian mutual fund managers were tested using the Jensen (1968) and Lehmann and Modest (1987) tests. The benchmark was Chamberlain's (1988) conditional intertemporal asset pricing model (APM) with one state variable. Compared to previous tests of the CAPM for Canadian equities, this intertemporal APM explained the conditional expected returns of size-sorted portfolios of Canadian equities well. Significantly negative stock-picking and market-timing abilities were identified. Like Lehmann and Modest, an invariancy problem was identified. The performance inferences are sensitive to the choice of the time-varying risk premia estimates.
ISSN:0825-0383
1936-4490