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Performance evaluation with stochastic discount factors (2002)
| Venue: | Journal of Business |
| Citations: | 45 - 14 self |
BibTeX
@ARTICLE{Farnsworth02performanceevaluation,
author = {Heber Farnsworth and David Jackson and Steven Todd and To Mark Carhart and Martin Gruber and Campbell Harvey and Don Keim and Jennifer Koski and Robert Korajczyk},
title = {Performance evaluation with stochastic discount factors},
journal = {Journal of Business},
year = {2002},
volume = {75},
pages = {473--503}
}
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Abstract
financial support from the Pigott-PACCAR professorship at the University of Washington. Previous drafts of the this paper were entitled, " Conditional Performance Evaluation." Performance Evaluation with Stochastic Discount Factors This paper uses a general asset pricing framework for evaluating the performance of mutual funds. Abnormal returns are formed by multiplying a fund's gross return by a stochastic discount factor and subtracting one. We compare the performance of a large
