The Cost of Active Investing
By Kenneth R. French. 2008
221 citations recorded by the source corpus.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/74e21d22200a372bf5a863dc077c0986d242ba82
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Citations in the corpus
- Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011, unknown): “of effective microstructure mechanisms in organized exchanges (Chordia, Roll and Subrahmanyam (2001), French (2008), Ben-rephael, Kadan and Wohl (2008)).”
- Anomalies across the globe: Once public, no longer existent? (2020, methodology): “For instance, larger stocks tend to exhibit lower total and idiosyncratic risk [e.g., Herskovic, Kelly, Lustig, and Nieuwerburgh (2016), Fama and French (2008)], they are less costly to short [e.g., D’Avolio (2002)], and they are more liquid [e.g., Corwin and Schultz (2012)].10 10Arbitrage costs at…”
- Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity (2014, unknown): “Chakravarty, Panchapagesan, and Wood (2005) and French (2008) document the significant decline in institutional commissions.”
- The Economic Importance of Financial Literacy: Theory and Evidence (2014, unknown): “French (2008) calculates that this amounts to an annual total cost of around $100 billion, which could be avoided by passive indexing.”
- Financial Literacy, Retirement Planning and Household Wealth† (2012, unknown): “67% of average annual equity return because of fees, expenses and trading costs of active investment strategies in an attempt to beat the market (French, 2008).”
- Luck versus Skill in the Cross-Section of Mutual Fund Returns (2010, unknown): “We include only funds that invest primarily in U.S. common stocks, and we combine, with value weights, different classes of the same fund into a single fund (see French (2008)).”
- Time-Varying Fund Manager Skill: Time-Varying Fund Manager Skill (2012, unknown): “2In 1980, 48% of U.S. equity was directly held by individuals – as opposed to being held through intermediaries; by 2007, that fraction was down to 21.5% (French (2008), Table 1).”
- Behavioral Biases of Mutual Fund Investors (2011, unknown): “French (2008) reports that: “Individuals hold 47.9% of the market in 1980 and only 21.5% in 2007.”
- Emerging Market Mutual Fund Performance: Evidence for Poland (2011, unknown): “First, we employ 1 See for instance Jensen (1969), Malkiel (1995), Gruber (1996), Carhart (1997), Wermers (2006) and French (2008).”
- Recent trends in trading activity and market quality (2011, unknown): “In his American Finance Association presidential address, French (2008) suggests that the cost of price discovery via trading was about $99 billion in 2006.3 Trading activity in equities is not only at high levels, but also has increased dramatically over the past few years.4 The value-weighted…”