TY - JOUR T1 - Stock-Market Risk Factors and Manager Performance JF - The Journal of Portfolio Management SP - 40 LP - 48 DO - 10.3905/jpm.2022.1.348 VL - 48 IS - 5 AU - Peter Mladina AU - Steven Germani Y1 - 2022/03/31 UR - https://pm-research.com/content/48/5/40.abstract N2 - 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. ER -