SUMMARY

• A selection of new writings and reference papers split into four sections: Theory, Testing the Models, Market Imperfections and Portfolio Performance Evaluation

• Designed to provide a set of tools to help distinguish between skill, risk and luck in evaluating actively managed portfolios

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  TABLE OF CONTENTS

CONTENTS
Introduction and Overview:
Original section introductions by Robert Korajczyk

Asset Pricing Theory:
Capital Asset Prices a Theory of Market Equilibrium Under Conditions of Risk
William F Sharpe

Toward a Theory of Market Value of Risky Assets
Jack Treynor

An Intertemporal Capital Asset Pricing Model
Robert C. Merton

The Arbitrage Theory of Capital Asset Pricing
Stephen A. Ross

A Simple Model of Capital Market Equilibrium with Incomplete Information
Robert C.Merton

Testing Asset Pricing Models, Anomalies, and Portfolio Strategies:

The Cross-Section of Expected Stock Returns
Eugene F. Fama and Kenneth R. French

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Narasimhan Jegadeesh and Sheridan Titman

Multi-Factor Explanations of Asset Pricing Anomalies
Eugene F. Fama and Kenneth R. French

Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns
Michael J. Brennan, Tarun Chordia, and Avanidhar Subrahmanyam

Evidence on the Characteristics of the Cross Sectional Variation in Stock Returns
Kent Daniel and Sheridan Titman

The Variation of Economic Risk Premiums
Ferson, Wayne E. and Campbell R. Harvey

Market Imperfections and Asset Pricing:

Asset Pricing and the Bid-Ask Spread
Yakov Amihud and Haim Mendelson

Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns
Brennan, Michael J., and Avanidhar Subrahmanyam

The Conditional CAPM and the Cross-Section of Expected Returns
Ravi Jagannathan and Zhenyu Wang

Portfolio Performance Evaluation:

Portfolio Performance Evaluation: Old Issues and New Insights
Mark Grinblatt and Sheridan Titman

Assessing the Market Timing Performance of Managed Portfolios
Ravi Jagannathan and Robert A. Korajczyk

Beyond Mean-Variance: Risk and Performance Measures for Portfolios with Nonsymmetric Return Distributions
Hayne E Leland

Measuring Fund Strategy and Performance in Changing Economic Conditions
Wayne E. Ferson and Rudi W. Schadt

Survivorship Bias in Performance Studies
Stephen J. Brown, William Goetzmann, Roger G. Ibbotson and Stephen A. Ross

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  CONTRIBUTORS

William F Sharpe, Jack Treynor, Robert C. Merton, Stephen A. Ross, Eugene F. Fama, Kenneth R. French, Narasimhan Jegadeesh, Sheridan Titman, Michael J. Brennan, Tarun Chordia, Avanidhar Subrahmanyam, Kent Daniel, Sheridan Titman, Ferson, Wayne E., Campbell R. Harvey, Yakov Amihud, Haim Mendelson, Ravi Jagannathan, Zhenyu Wang, Mark Grinblatt, Sheridan Titman, Ravi Jagannathan, Hayne E Leland, Wayne E. Ferson, Rudi W. Schadt, Stephen J. Brown, William Goetzmann, Roger G. Ibbotson
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