PT  - JOURNAL ARTICLE
AU  - Peter Mladina
AU  - Steven Germani
TI  - Stock-Market Risk Factors and Manager Performance
AID  - 10.3905/jpm.2022.1.348
DP  - 2022 Mar 31
TA  - The Journal of Portfolio Management
PG  - 40--48
VI  - 48
IP  - 5
4099  - https://pm-research.com/content/48/5/40.short
4100  - https://pm-research.com/content/48/5/40.full
AB  - 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.