TY  - JOUR
AU  - Ferson,Wayne E.
AU  - Siegel,Andrew F.
TI  - Testing Portfolio Efficiency with Conditioning Information
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12098
PY  - 2006
Y2  - March 2006
UR  - http://www.nber.org/papers/w12098
L1  - http://www.nber.org/papers/w12098.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu

Andrew Siegel
M2  - featured in NBER digest on 2006-03-20
AB  - We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our tests refine previous tests of portfolio efficiency, using the conditioning information optimally. We reject the efficiency of all static or time-varying combinations of the three Fama-French (1996) factors with respect to the conditioning information and also the conditional efficiency of time-varying combinations of the factors, given standard lagged instruments.
ER  -