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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/10013059086

Skill and Profit in Active Management

Stambaugh, Robert F. - 2019

-skilled managers produce larger expected total investment profits, and their portfolio weights correlate more highly with assets …' future returns. Becoming more skilled, however, can reduce a manager's expected profit if enough other managers also become … more skilled. The greater skill allows those managers to identify profit opportunities more accurately, but active …

Persistent link: https://www.econbiz.de/10012867439

Equilibrium cross section of returns

Gomes Neto, João Batista F.; Kogan, Leonid; Zhang, Lu - In: Journal of political economy 111 (2003) 4, pp. 693-732

Persistent link: https://www.econbiz.de/10001786306

Investment-based expected stock returns

Liu, Laura Xiaolei; Whited, Toni Marion; Zhang, Lu - In: Journal of political economy 117 (2009) 6, pp. 1105-1139

Persistent link: https://www.econbiz.de/10003936687

On the size of the active management industry

Pástor, Ľuboš; Stambaugh, Robert F. - In: Journal of political economy 120 (2012) 4, pp. 740-781

Persistent link: https://www.econbiz.de/10009693737

Liquidity risk and expected stock returns

Pástor, Ľuboš; Stambaugh, Robert F. - In: Journal of political economy 111 (2003) 3, pp. 642-685

Persistent link: https://www.econbiz.de/10001767080

Predictive Systems : Living with Imperfect Predictors

Pastor, Lubos - 2010

We develop a framework for estimating expected returnsmdash;a lt;igt;predictive systemlt;/igt;mdash;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...

Persistent link: https://www.econbiz.de/10012760469

Financially Constrained Stock Returns

Livdan, Dmitry - 2010

More financially constrained firms are riskier and earn higher expected returns than less financially constrained firms, although this effect can be subsumed by size and book-to-market. Further, because the stochastic discount factor makes capital investment more procyclical, financial...

Persistent link: https://www.econbiz.de/10012760623

Momentum Profits and Macroeconomic Risk

Liu, Laura Xiaolei - 2010

Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher...

Persistent link: https://www.econbiz.de/10012762434

Anomalies

Zhang, Lu - 2010

I construct a neoclassical, Q-theoretical foundation for time-varying expected returns in connection with corporate policies and events. Under certain conditions, stock return equals investment return, which is directly tied with firm characteristics. This single equation is shown analytically...

Persistent link: https://www.econbiz.de/10012762464