Ľuboš Pástor
Biographic Data
| ID | 5849564 |
|---|---|
| NAME | Ľuboš Pástor |
| GIVEN NAMES | Ľuboš |
| FAMILY NAME | Pástor |
| SIGNATURE | PASTOR L |
| AFFILIATIONS | University of Chicago |
| ORCID | 0000-0002-7946-8057 |
| VERIFIED | Yes |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 24 |
| AUTHOR COUNT | 5 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2003 |
| LATEST PUBLICATION YEAR | 2021 |
| H-INDEX | 1 |
Sustainable investing in equilibrium
Political Cycles and Stock Returns
We develop a model of political cycles driven by time-varying risk aversion. Agents choose to work in the public or private sector and to vote Democrat or Republican. In equilibrium, when risk aversion is high, agents elect Democrats—the party promising more redistribution. The model predicts higher average stock market returns under Democratic presidencies, explaining the well-known “presidential puzzle.” The model can also explain why economic …
Political uncertainty and risk premia
On the Size of the Active Management Industry
We argue that active management's popularity is not puzzling despite the industry's poor track record. Our explanation features decreasing returns to scale: As the industry's size increases, every manager's ability to outperform passive benchmarks declines. The poor track record occurred before the growth of indexing modestly reduced the share of active management to its current size. At this size, better performance is expected by investors who …
Liquidity Risk and Expected Stock Returns
This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 thro…
Liquidity Risk and Expected Stock Returns
This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 thro…
Political Cycles and Stock Returns
We develop a model of political cycles driven by time-varying risk aversion. Agents choose to work in the public or private sector and to vote Democrat or Republican. In equilibrium, when risk aversion is high, agents elect Democrats—the party promising more redistribution. The model predicts higher average stock market returns under Democratic presidencies, explaining the well-known “presidential puzzle.” The model can also explain why economic …
On the Size of the Active Management Industry
We argue that active management's popularity is not puzzling despite the industry's poor track record. Our explanation features decreasing returns to scale: As the industry's size increases, every manager's ability to outperform passive benchmarks declines. The poor track record occurred before the growth of indexing modestly reduced the share of active management to its current size. At this size, better performance is expected by investors who …
Liquidity Risk and Expected Stock Returns
This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. From 1966 thro…
On the Size of the Active Management Industry
We argue that active management's popularity is not puzzling despite the industry's poor track record. Our explanation features decreasing returns to scale: As the industry's size increases, every manager's ability to outperform passive benchmarks declines. The poor track record occurred before the growth of indexing modestly reduced the share of active management to its current size. At this size, better performance is expected by investors who …
Political uncertainty and risk premia
Political Cycles and Stock Returns
We develop a model of political cycles driven by time-varying risk aversion. Agents choose to work in the public or private sector and to vote Democrat or Republican. In equilibrium, when risk aversion is high, agents elect Democrats—the party promising more redistribution. The model predicts higher average stock market returns under Democratic presidencies, explaining the well-known “presidential puzzle.” The model can also explain why economic …
Sustainable investing in equilibrium
Economics (5 works) · Financial economics (4 works) · Financial Markets and Investment Strategies (4 works) · Monetary economics (4 works) · Political science (3 works) · Business (2 works) · Econometrics (2 works) · Fiscal Policies and Political Economy (2 works) · Market liquidity (2 works) · Microeconomics (2 works)