| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26027 |
| 来源ID | Working Paper 26027 |
| Skill and Pro\ufb01t in Active Management | |
| Robert F. Stambaugh | |
| 发表日期 | 2019-07-01 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | I analyze skill’s role in active management under general equilibrium with many assets and costly trading. More-skilled managers produce larger expected total investment profits, and their portfolio weights correlate more highly with assets’ future returns. Becoming more skilled, however, can reduce a manager’s expected profit if enough other managers also become more skilled. The greater skill allows those managers to identify profit opportunities more accurately, but active management in aggregate then corrects prices more, shrinking the profits those opportunities offer. The latter effect can dominate in a setting consistent with numerous empirical properties of active management and stock returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w26027 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583700 |
| 推荐引用方式 GB/T 7714 | Robert F. Stambaugh. Skill and Pro\ufb01t in Active Management. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26027.pdf（1008KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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