Testing Portfolio Efficiency with Conditioning Information
利用滞后工具变量作为条件信息，检验资产定价模型所识别的投资组合是否达到最小方差效率。通过最优使用条件信息，拒绝了一些原本无法拒绝的效率假设，并发现对冲基金指数的夏普比率与条件信息的最优使用一致。
We develop asset pricing models’ implications for portfolio efficiency with conditioning information in the form of lagged instruments. A model identifies a portfolio that should be minimum-variance efficient with respect to the conditioning information. Our framework refines tests of portfolio efficiency by using the given conditioning information optimally. The optimal use of the lagged variables is economically important; by using the instruments optimally, we reject several efficiency hypotheses that are not otherwise rejected. The Sharpe ratios of a sample of hedge fund indexes appear consistent with the optimal use of conditioning information.