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Stambaugh, Robert F. - 2014

During the past few decades, the fraction of the equity market owned directly by individuals declined significantly. The same period witnessed investment trends that include the growth of indexing as well as shifts by active managers toward lower fees and more index-like investing. I develop an...

Persistent link: https://www.econbiz.de/10013054870

Consumer Spending and the Economic Stimulus Payments of 2008

Parker, Jonathan A. - 2011

We measure the response of household spending to the economic stimulus payments (ESPs) disbursed in mid-2008, using …

Persistent link: https://www.econbiz.de/10013131507

The Increase in Income Cyclicality of High-Income Households and its Relation to the Rise in Top Income Shares

Parker, Jonathan A. - 2010

We document a large increase in the cyclicality of the incomes of high-income households, coinciding with the rise in their share of aggregate income. In the U.S., since top income shares began to rise rapidly in the early 1980s, incomes of those in the top 1 percent of the income distribution...

Persistent link: https://www.econbiz.de/10013135402

Leads on Macroeconomic Risks to and from the Household Sector

Parker, Jonathan A. - 2013

with information on the reallocation of resources within, from, and to the household sector in response to macroeconomic … events. The household sector is both a propagator of shocks to the economy, as wealth is redistributed across households with … of information on household exposures to macroeconomic risk factors - can potentially lead to better macroeconomic …

Persistent link: https://www.econbiz.de/10013089772

Accelerator or Brake? Cash for Clunkers, Household Liquidity, and Aggregate Demand

Green, Daniel - 2016

effects of other indebtedness, household income, and the size of the program subsidy …

Persistent link: https://www.econbiz.de/10012978103

Why Don't Households Smooth Consumption? Evidence from a 25 Million Dollar Experiment

Parker, Jonathan A. - 2015

This paper evaluates theoretical explanations for the propensity of households to increase spending in response to the arrival of predictable, lump-sum payments, using households in the Nielsen Consumer Panel who received 25 million in randomly-distributed stimulus payments. The pattern of...

Persistent link: https://www.econbiz.de/10013019110

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/10013059086

Do Funds Make More When They Trade More?

Pastor, Lubos - 2014

We model optimal fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover...

Persistent link: https://www.econbiz.de/10013043611

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/10013148870

Fund Tradeoffs

Pastor, Lubos - 2017

We study tradeoffs among active mutual funds' characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the...

Persistent link: https://www.econbiz.de/10012949931