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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

Liquidity Risk and Expected Stock Returns

Pastor, Lubos - 2001

This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of...

Persistent link: https://www.econbiz.de/10012470256

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

Costs of Equity Capital and Model Mispricing

Pastor, Lubos - 1998

Costs of equity for individual firms are estimated in a Bayesian framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whose average return...

Persistent link: https://www.econbiz.de/10012472312

Analyzing Investments Whose Histories Differ in Length

Stambaugh, Robert F. - 1997

This study explores multivariate methods for investment analysis based on a sample of return histories that differ in length across assets. The longer histories provide greater information about moments of returns, not only for the longer-history assets, but for the shorter-history assets as...

Persistent link: https://www.econbiz.de/10012472906

On the Predictability of Stock Returns : An Asset-Allocation Perspective

Kandel, Shmuel - 1995

The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the...

Persistent link: https://www.econbiz.de/10012473901

Portfolio Inefficiency and the Cross-Section of Expected Returns

Kandel, Shmuel - 1994

A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...

Persistent link: https://www.econbiz.de/10012474226

Asset Returns and Intertemporal Preferences

Kandel, Shmuel - 1991

A representative-agent model with time-varying moments of consumption growth is used to analyze implications about means and volatilities of asset returns as well as the predictability of asset returns for various investment horizons. A comparative-statics analysis using non-expected-utility...

Persistent link: https://www.econbiz.de/10012475382

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

Anomalies Abroad : Beyond Data Mining

Lu, Xiaomeng - 2017

A pre-specified set of nine prominent U.S. equity return anomalies produce significant alphas in Canada, France, Germany, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed stock markets afford the most extensive data. The anomalies...

Persistent link: https://www.econbiz.de/10012453902