... are estimated based on various characteristic and risk models and evaluated for the purpose of mean-variance portfolios. Findings Return estimates from characteristic models are most informative to investors. Risk-factor models provide the most informative estimates of the risk. A mean-variance investor...

... explanation is also referred to the terms mispricing or characteristic model/story, while the latter one is also referred to the terms risk or covariance model/story. Since the early works of Daniel and Titman (1997) and Davis et al. (2000) , the question whether covariances or characteristics...