This paper considers predictive regressions, where y_t is predicted by all p lags of x, here with x being autoregressive of order q, PR(p,q). The literature considers model properties in the cases where p=q. We demonstrate that the current augmented regression method can still reduce the bias in...

Forecasting stock market movements is a challenging task from the practitioners' point of view. We explore how model selection via the least absolute shrinkage and selection operator (LASSO) approach can be better used to forecast stock closing prices using real-world datasets of daily stock...

We take a deeper look at the robustness of evidence presented by Pastor, Stambaugh, and Taylor (2015) and Zhu (2018), who find that an actively managed mutual fund's returns relate negatively to both fund size and the size of the active mutual fund industry. When we apply robust regression...

Does industry experience affect the monitoring effectiveness of independent directors? On the one hand, prior industry experience provides independent directors industry-specific knowledge and expertise critical for understanding and evaluating managerial decision making, thereby enhancing their...

This paper considers the nature of returns to scale in active management following Pastor, Stambaugh and Taylor (2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced empirical strategy, we find a significant negative impact of fund size on performance. This...