Robert Stambaugh Presentation

Do Funds Make More When They Trade More?

ˇLuboˇs P´astor (Chicago Booth)
Rob Stambaugh (Wharton)
Luke Taylor (Wharton)

Motivation

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Main Result

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Other Results

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Literature

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Sample

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Sample

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Turnover-Performance Relation

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Turnover-Performance Relation

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Role of Fund Size and Fees

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Turnover-Performance Relation in Size and Fee Categories

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Volatility of Fund Turnover

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Average Fund Turnover

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Autocorrelation of Fund Turnover

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Average Benchmark-Adjusted Gross Fund Returns

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Average Benchmark-Adjusted Net Fund Returns

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Role of Other Funds

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Is Average Turnover Related to Mispricing?

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What Helps Explain Fund Performance?

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Commonality in Turnover

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What Helps Explain Fund Performance?

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Investment Perspectives

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Timing Strategy

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Equivalence Between Timing Strategy and Regression

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Average Returns of Timing Strategy

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Economic Significance

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Cross-Sectional Strategy

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Average Gross Returns of Cross-Sectional Strateg

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Average Net Returns of Cross-Sectional Strategy

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Conclusions

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