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Testing for mean-variance spanning: A survey

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  • Nijman, T.E.

    (Tilburg University)

  • Roon, F.A. de

    (Tilburg University)

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-87531.

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Date of creation: 2001
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Publication status: Published in Journal of Empirical Finance (2001) v.8, p.111-156
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-87531

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  1. Bansal, Ravi & Lehmann, Bruce N., 1997. "Growth-Optimal Portfolio Restrictions On Asset Pricing Models," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 1(02), pages 333-354, June.
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  3. Shanken, Jay, 1990. "Intertemporal asset pricing : An Empirical Investigation," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 99-120.
  4. Cesare Robotti & Pierluigi Balduzzi, 1999. "Minimum-Variance Kernels and Economic Risk Premia," Computing in Economics and Finance 1999, Society for Computational Economics 953, Society for Computational Economics.
  5. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, Econometric Society, vol. 55(3), pages 703-08, May.
  6. MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, Elsevier, vol. 38(1), pages 3-28, May.
  7. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 29, Federal Reserve Bank of Minneapolis.
  8. Roon, F.A. de & Nijman, T.E. & Werker, B.J.M., 1998. "Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets," Discussion Paper, Tilburg University, Center for Economic Research 1998-07, Tilburg University, Center for Economic Research.
  9. Roon, F.A. de & Nijman, T.E. & Veld, C.H., 2000. "Hedging pressure effects in futures markets," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-83944, Tilburg University.
  10. Glen, Jack & Jorion, Philippe, 1993. " Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1865-86, December.
  11. John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
  12. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, Elsevier, vol. 24(2), pages 289-317.
  13. Shanken, Jay, 1987. "Multivariate proxies and asset pricing relations : Living with the Roll critique," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 91-110, March.
  14. Luttmer, Erzo G J, 1996. "Asset Pricing in Economies with Frictions," Econometrica, Econometric Society, Econometric Society, vol. 64(6), pages 1439-67, November.
  15. Nijman, T.E. & Roon, F.A. de & Werker, B.J.M., 1996. "Testing for Spanning with Futrures Contracts and Nontraded Assets: A General Approach," Discussion Paper, Tilburg University, Center for Economic Research 1996-83, Tilburg University, Center for Economic Research.
  16. Raymond Kan & Guofu Zhou, 1999. "A Critique of the Stochastic Discount Factor Methodology," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 12, China Economics and Management Academy, Central University of Finance and Economics.
  17. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(3), pages 572-621, June.
  18. Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995. "Econometric Evaluation of Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(2), pages 237-74.
  19. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, INFORMS, vol. 9(2), pages 277-293, January.
  20. Bekaert, Geert & Urias, Michael S, 1996. " Diversification, Integration and Emerging Market Closed-End Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 51(3), pages 835-69, July.
  21. Cumby, Robert E & Glen, Jack D, 1990. " Evaluating the Performance of International Mutual Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 497-521, June.
  22. Dahlquist, Magnus & Söderlind, Paul, 1997. "Evaluating Portfolio Performance with Stochastic Discount Factors," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1663, C.E.P.R. Discussion Papers.
  23. Balduzzi, Pierluigi & Kallal, Hedi, 1997. " Risk Premia and Variance Bounds," Journal of Finance, American Finance Association, American Finance Association, vol. 52(5), pages 1913-49, December.
  24. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report, Federal Reserve Bank of Minneapolis 167, Federal Reserve Bank of Minneapolis.
  25. Snow, Karl N, 1991. " Diagnosing Asset Pricing Models Using the Distribution of Asset Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 46(3), pages 955-83, July.
  26. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  27. Ferson, Wayne E & Foerster, Stephen R & Keim, Donald B, 1993. " General Tests of Latent Variable Models and Mean-Variance Spanning," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 131-56, March.
  28. Geert Bekaert & Jun Liu, 1999. "Conditioning Information and Variance Bounds on Pricing Kernels," NBER Working Papers 6880, National Bureau of Economic Research, Inc.
  29. Jobson, J D & Korkie, Bob, 1984. " On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note," Journal of Finance, American Finance Association, American Finance Association, vol. 39(1), pages 245-51, March.
  30. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 46(1), pages 66-86, January.
  31. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-82.
  32. Kandel, Shmuel & Stambaugh, Robert F., 1987. "On correlations and inferences about mean-variance efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 61-90, March.
  33. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, American Finance Association, vol. 51(1), pages 55-84, March.
  34. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, Elsevier, vol. 14(3), pages 319-338, November.
  35. Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, Econometric Society, vol. 57(5), pages 1121-52, September.
  36. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, American Finance Association, vol. 23(2), pages 389-416, 05.
  37. Jobson, J. D. & Korkie, Bob, 1982. "Potential performance and tests of portfolio efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 10(4), pages 433-466, December.
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