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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

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

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

The Long of It : Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

Stambaugh, Robert F. - 2012

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...

Persistent link: https://www.econbiz.de/10012460429