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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 Pastor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the liquidity risk premium. In the...

Persistent link: https://www.econbiz.de/10012872331

Scale and Skill in Active Management

Pastor, Lubos - 2016

We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of … that avoid econometric biases are insignificant. We also find that the active management industry has become more skilled …

Persistent link: https://www.econbiz.de/10013006184