Do Funds Make More When They Trade More

By Ľuboš Pástor, Rob Stambaugh, Lucian A. Taylor. 2016

197 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d8fcec2c7c452c638c06bd7b71d5d7150e45de33

Citations in the corpus

• Climate risks and market efficiency (2017, unknown): “…ei,t. (3.4) Given country fixed effects, the OLS estimate β̂ from this panel regression reflects only timeseries variations in PDSI36m and food sector change in profitatbility. β̂ is a weighted-average of the slope estimates from pure time-series regressions (Pastor, Stambaugh, and Taylor (2014)).”
• Mutual Fund Performance and Flows during the COVID-19 Crisis (2020, unknown): “Data availability also limits our ability to test the hypothesis that the profit opportunities created by COVID-19 lead active funds to trade more, improving their future performance (Pástor, Stambaugh, and Taylor 2017).”