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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...
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This paper investigates the impact of the inclusion of housing in a household portfolio on household's intertemporal decision making. Residential housing is one of the principal assets households hold, and thus changes in housing return can affect household consumption over time. We assess...
Persistent link: https://www.econbiz.de/10014061872
The inquiries to return predictability are traditionally limited to conditional mean, while literature on portfolio selection is replete with moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework for both return prediction and...
Persistent link: https://www.econbiz.de/10010664330
The inquiries to return predictability are traditionally limited to the first two moments, mean and volatility. Analogously, literature on portfolio selection also stems from a moment-based analysis with up to the fourth moment being considered. This paper develops a distribution-based framework...
Persistent link: https://www.econbiz.de/10012975599