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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

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 … portfolio choices. Greater skill also means, however, that active management corrects prices better and thus reduces managers … rationally allocate less to active funds and more to index funds if active management is more skilled …

Persistent link: https://www.econbiz.de/10012479976

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 …

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

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

Kandel, Shmuel - 1995

-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even …

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

means and volatilities of asset returns as well as the predictability of asset returns for various investment horizons. A …

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