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Spring 2022 Seminar
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Robert Stambaugh Presentation
Do Funds Make More When They Trade More?
ˇLuboˇs P´astor
(Chicago Booth)
Rob Stambaugh
(Wharton)
Luke Taylor
(Wharton)
Motivation
Main Result
Other Results
Literature
Sample
Sample
Turnover-Performance Relation
Turnover-Performance Relation
Role of Fund Size and Fees
Turnover-Performance Relation in Size and Fee Categories
Volatility of Fund Turnover
Average Fund Turnover
Autocorrelation of Fund Turnover
Average Benchmark-Adjusted Gross Fund Returns
Average Benchmark-Adjusted Net Fund Returns
Role of Other Funds
Is Average Turnover Related to Mispricing?
What Helps Explain Fund Performance?
Commonality in Turnover
What Helps Explain Fund Performance?
Investment Perspectives
Timing Strategy
Equivalence Between Timing Strategy and Regression
Average Returns of Timing Strategy
Economic Significance
Cross-Sectional Strategy
Average Gross Returns of Cross-Sectional Strateg
Average Net Returns of Cross-Sectional Strategy
Conclusions
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CALL FOR WORKING PAPERS
SPRING 2022 SEMINAR