Portfolio managers claim to be able to generate abnormal returns through either superior asset selection or market timing. The Treynor and Mazuy (TM) model is the mostly used return-based approach to isolate market timing skills, but all existing corrections of the regression intercept can be manipulated by a manager who can trade derivatives. We revisit the TM model by applying the original op...

We apply path integration techniques to obtain option pricing with stochastic volatility using a generalized Black-Scholes equation known as the Merton and Garman equation. We numerically simulate the option prices using the technique of path integration. Using market data, we determine the parameters of the model. It is found that the market chooses a special class of models for which a more e...

In this research, we revamp the approach of Buraschi and Jackwerth (2001), especially, in the derivation of the pricing-kernel and the data-handling technique and then empirically analyze the consistency of the DVMs introduced in Mawaribuchi, Miyazaki and Okamoto (2009) to the dynamics of the cross-sectional option returns. The implication attained from our quantitative analyses is that even in...