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Skill and Fees in Active Management
Stambaugh, Robert F. - 2019
Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more …-skilled managers earn more revenue than less-skilled managers, greater skill for active managers overall can imply less revenue for … their industry. Greater skill allows managers to identify mispriced securities more accurately and thereby make better …
Persistent link: https://www.econbiz.de/10012479976
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Scale and Skill in Active Management
Pastor, Lubos - 2014
We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level,...
Persistent link: https://www.econbiz.de/10012458773
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Explaining the Cross-Section of Stock Returns in Japan : Factors or Characteristics?
Daniel, Kent - 1999
Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated with these characteristics arise because the characteristics are proxies for covariance with...
Persistent link: https://www.econbiz.de/10012471544
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Profitability of Momentum Strategies : An Evaluation of Alternative Explanations
Jegadeesh, Narasimhan - 1999
This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and Titman (1993). The evidence indicates that momentum profits have continued in the 1990's suggesting that the original results were not a product of data snooping bias. The paper...
Persistent link: https://www.econbiz.de/10012471628
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Predictive Regressions
Stambaugh, Robert F. - 1999
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012471691
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Liquidity Risk After 20 Years
Pastor, Lubos - 2019
The Critical Finance Review commissioned Li, Novy-Marx, and Velikov (2017) and Pontiff and Singla (2019) to replicate the results in Pástor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the liquidity risk premium. In...
Persistent link: https://www.econbiz.de/10012479724
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A Dynamic Model of Characteristic-Based Return Predictability
Alti, Aydoğan - 2019
We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...
Persistent link: https://www.econbiz.de/10012479727
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ESG Preference, Institutional Trading, and Stock Return Patterns
Cao, Jie - 2020
Socially responsible (SR) institutions tend to focus more on the ESG performance and less on quantitative signals of value. Consistent with this difference in focus, we find that SR institutions react less to quantitative mispricing signals. Our evidence suggests that the increased focus on ESG...
Persistent link: https://www.econbiz.de/10012482375
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Predictive Systems : Living with Imperfect Predictors
Pastor, Lubos - 2008
We develop a framework for estimating expected returns---a <i>predictive system</i>---that allows predictors to be imperfectly correlated with the conditional expected return. When predictors are imperfect, the estimated expected return depends on past returns in a manner that hinges on the correlation...
Persistent link: https://www.econbiz.de/10012464843
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Predictive Systems : Living with Imperfect Predictors
Pastor, Lubos - 2007
The standard regression approach to modeling return predictability seems too restrictive in one way but too lax in another. A predictive regression models expected returns as an exact linear function of a given set of predictors but does not exploit the likely economic property that innovations...
Persistent link: https://www.econbiz.de/10012465843