Ekonomická a finančná matematika

Vážení kolegovia,

pozývame Vás na Bratislava Economic Seminar, ktorý je spoločným projektom CEF FMFI UK,
Národnej banky Slovenska a Katedry hospodárskej politky Národohospodárskej fakulty EUBA. Oznámenie o podujatí je v prílohe.

Seminár sa uskutoční uskutoční v pondelok 27. apríla 2015 o 16:00 v posluchárni C, na Fakulte matematiky, fyziky a informatiky UK, Mlynská dolina, Bratislava a jeho náplňou bude prednáška:

Ľuboš Pástor

Scale and Skill in Active Management

Abstract:
We empirically analyze the nature of returns to scale in active mutual fund
management. We find strong evidence of decreasing returns at the industry level: As
the size of the active mutual fund industry increases, a fund's ability to outperform
passive benchmarks declines. At the fund level, all methods considered indicate
decreasing returns, though estimates that avoid econometric biases are insignificant.
We also find that the active management industry has become more skilled over
time. This upward trend in skill coincides with industry growth, which precludes the
skill improvement from boosting fund performance. Finally, we find that performance
deteriorates over a typical fund's lifetime. This result can also be explained by
industry-level decreasing returns to scale.

http://papers.ssrn.com/sol3/papers.cfm? ... id=2318788


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