Presidential Address: The Cost of Active Investing

By Kenneth R. French. 2008

767 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fd36f4d5e19f6e96953dde0dd3cd3a34baa72e1d

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Citations in the corpus

Social Transmission Bias and Investor Behavior (2021, unknown): “Mitton and Vorkink (2007) and Goetzmann and Kumar (2008) document that underdiversified individual investors (presumably naive investors—whom we would expect to be most subject to social influence) tend to choose stocks with high skewness—especially idiosyncratic skewness.”
Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide (2013, unknown): “…lack of economically significant and persistent abnormal performance among active portfolio managers as a whole as documented by the literature (French, 2008), our study of a selective subset of institutional investors’ portfolios, i.e., the confidential holdings of hedge funds, reveals…”
News-based trading strategies (2016, background): “Further information on trading costs for high-frequency orders of hedge funds can be found e. g. in [38, 39, 37].”
Mutual Fund Incubation (2010, background): “Given the average underperformance of actively managed mutual funds documented by Jensen (1968), Carhart (1997), French (2008) and others, maximizing fund performance may seem to be a daunting challenge.”
Outsourcing Mutual Fund Management: Firm Boundaries, Incentives and Performance (2013, background): “At the beginning of 1980, they held 4.6% of all U.S. equity, but that number increased to 32.4% by the end of 2007 (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…”
How Wise Are Crowds? Insights from Retail Orders and Stock Returns (2013, unknown): “Indeed, French (2008) shows that direct individual ownership of U.S. stocks declines from 36.2% in 2000 to 21.5% in 2007, while mutual fund ownership rises.”
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.”
Have Financial Markets Become More Informative (2016, unknown): “A large theoretical literature with seminal papers by Glosten and Milgrom (1985) ; Grossman and Stiglitz (1980) ; Kyle (1985) , and Holmström and Tirole (1993) studies the incentives of traders to produce information. As financial technology develops and the cost of producing information shrinks, th”