@article {Mladinajpm.2022.1.348, author = {Peter Mladina and Steven Germani}, title = {Stock-Market Risk Factors and Manager Performance}, elocation-id = {jpm.2022.1.348}, year = {2022}, doi = {10.3905/jpm.2022.1.348}, publisher = {Institutional Investor Journals Umbrella}, abstract = {There has been a proliferation of stock-market factors that have been mined from historical data, and researchers are now using different methods to address this factor zoo. The authors employ a new method of jointly testing stock-market factor models and manager performance using the attributes of market efficiency as an ideal, or benchmark. They find that a modified three-factor model with an intertemporal risk-free asset is the best factor model overall for traded stock portfolios. Evidence for a simple intertemporal CAPM is also encouraging. Consistent with prior research, they find little evidence of manager skill net of expenses.}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/early/2022/03/05/jpm.2022.1.348}, eprint = {https://jpm.pm-research.com/content/early/2022/03/05/jpm.2022.1.348.full.pdf}, journal = {The Journal of Portfolio Management} }