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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

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

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

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

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

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

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

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