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Comparing Asset Pricing Models : An Investment Perspective

Pastor, Lubos - 1999

beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an …

Persistent link: https://www.econbiz.de/10012471499

Asset Pricing Models : Implications for Expected Returns and Portfolio Selection

MacKinlay, A. Craig - 1999

investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix …

Persistent link: https://www.econbiz.de/10012471625

On the Size of the Active Management Industry

Pastor, Lubos - 2010

We argue that active management's popularity is not puzzling despite the industry's poor track record. Our explanation features decreasing returns to scale: As the industry's size increases, every manager's ability to outperform passive benchmarks declines. The poor track record occurred before...

Persistent link: https://www.econbiz.de/10012463004

Learning in Financial Markets

Pastor, Lubos - 2009

We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...

Persistent link: https://www.econbiz.de/10012464003

Fund Tradeoffs

Pastor, Lubos - 2017

We derive equilibrium relations among active mutual funds' key characteristics: fund size, expense ratio, turnover, and portfolio liquidity. As our model predicts, funds with smaller size, higher expense ratios, and lower turnover hold less liquid portfolios. A portfolio's liquidity, a concept...

Persistent link: https://www.econbiz.de/10012455012

Technological Revolutions and Stock Prices

Pastor, Lubos - 2005

We develop a general equilibrium model in which stock prices of innovative firms exhibit "bubbles" during technological revolutions. In the model, the average productivity of a new technology is uncertain and subject to learning. During technological revolutions, the nature of this uncertainty...

Persistent link: https://www.econbiz.de/10012466795

The Price of Political Uncertainty : Theory and Evidence from the Option Market

Kelly, Bryan - 2014

political uncertainty is priced in the equity option market as predicted by theory. Options whose lives span political events …

Persistent link: https://www.econbiz.de/10012458851

Uncertainty about Government Policy and Stock Prices

Pastor, Lubos - 2010

change is preceded by a short or shallow downturn. Policy changes increase volatility, risk premia, and correlations among … stocks. The jump risk premium associated with policy decisions is positive, on average …

Persistent link: https://www.econbiz.de/10012462528

Income Inequality and Asset Prices under Redistributive Taxation

Pastor, Lubos - 2015

Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and … redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion … sufficiently low. Under heavier taxation, entrepreneurs are more skilled and less risk-averse, on average. Through these selection …

Persistent link: https://www.econbiz.de/10012457001