on Economic Information: Another Look at the Persistence of Performance." Review of Financial Studies 11(1):111-142. Collins, D. W, and P. Hribar. 2000. "Earnings-Based and Accrual-Based Market Anomalies: One Effect or Two?" Journal of Accounting and Economics 29(1): 101-123. Connor, G., and R. A. Korajc2yk. 1986. "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis." Journal of Financial Economics 15:373-394. Connor, G., and R. A. Korajc2yk. 1988. "Risk and Return in an Equilibrium APT Application of a New Test Methodology." Journal of Financial Economics 21:255-290. Connor, G., and R. A. Korajc2yk. 1993. "A Test for the Number of Factors in an Approximate Factor Model." Journal of Finance 48:1263-1291. Constantinides, G. M., and W E. Ferson. 1991. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests." Journal of Financial Economics 29(2):199-240. Daniel, K., and S. Titman. 1997. "Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns." Journal of Finance 52(l):l-33. Dawes, R. M., D. Faust, and P. E. Meehl. 1989. "Clinical versus Actuarial Judgement." Science 243 (March 31):1668-1674. Dechow, P. M., and R. G. Sloan. 1997. "Returns to Contrarian Investment Strategies: Tests of Naive Expectations Hypotheses." Journal of Financial Economics 43(l):3-27. De Santis, G., and B. Gerard. 1997. "International Asset Pricing and Portfolio Diversification with Time-Varying Risk." Journal of Finance 52(5):1881-1912. De Santis, G., and E. Tavel. 1999. "Conditional Covariance Estimation in QS." Goldman Sachs Asset Management. Mimeographed. Elton, E. J., M. J. Gruber, S. J. Brown, and W. N. Goetzmann. 2002. Modern Portfolio: Theory & Investment Analysis, Sixth Edition. New York: John Wiley & Sons. Engle, R. F 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of the United Kingdom Inflation." Econometrica 50:987-1007. Engle, R. F. 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models." Journal of Business and Economic Statistics 20(3): 339-350. Epstein, L. G., and S. E. Zin. 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis." Journal of Political Economy 99(2):263-286. Fama, E. F 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work." Journal of Finance 25:383^117.