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来源类型Working Paper
规范类型报告
DOI10.3386/w26027
来源IDWorking 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
URLhttps://www.nber.org/papers/w26027
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/583700
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Robert F. Stambaugh. Skill and Pro\ufb01t in Active Management. 2019.
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