Lubos Pastor: ‘Judging Fund Managers by the Company They Keep’
The Long View
Intro
Dr. Pastor delves into his research on financial markets, covering topics like liquidity risk and active fund performance, as well as discussing his leadership at the Center for Research and Security Prices and positions at the Booth School.
Our guest this week is Lubos Pastor. He is the Charles P. McQuaid Professor of Finance at the University of Chicago Booth School of Business, where he’s taught since 1999. Pastor is a leading researcher on financial markets and asset management, publishing numerous award-winning papers that have been widely cited in academic finance literature. His research spans a number of areas, including liquidity risk, return predictability, active fund performance, and more. Pastor serves as a director of the Center for Research in Security Prices and is a member of the board of the Fama-Miller Center for Research in Finance. He also holds various positions outside of the Booth School, including serving as a member of the bank board of the National Bank of Slovakia. He received his doctorate in finance from the Wharton School at the University of Pennsylvania.
Background
Research and Stocks
Journal of Financial Economics
The Review of Financial Studies
The Journal of Portfolio Management
Journal of Investment Management
Social Science Research Network
“Are Stocks Really Less Volatile in the Long Run?” by Lubos Pastor and Robert F. Stambaugh, National Bureau of Economic Research, December 2011.
ESG
“Dissecting Green Returns,” by Lubos Pastor, Robert F. Stambaugh, and Lucian A. Taylor, SSRN, June 15, 2022.
“Sustainable Investing in Equilibrium,” by Lubos Pastor, Robert F. Stambaugh, and Lucian A. Taylor, SSRN, Aug. 12, 2020.
Myth-Busting
“Mutual Fund Performance and Flows During the COVID-19 Crisis,” by Lubos Pastor and Blair Vorsatz, SSRN, Aug. 14, 2020.
“Mutual Fund Performance: An Empirical Decomposition Into Stock-Picking Talent, Style, Transaction Costs, and Expenses: Discussion,” by Tobias Moskowitz, The Journal of Finance, 2000.
“Scale and Skill in Active Management,” by Lubos Pastor, Robert F. Stambaugh, and Lucian A. Taylor, SSRN, Aug. 11, 2020.
Factors and Liquidity
“Liquidity Risk and Expected Stock Returns,” by Lubos Pastor and Robert F. Stambaugh, SSRN, Aug. 17, 2001.
“Liquidity Risk After 20 Years,” by Lubos Pastor and Robert F. Stambaugh, SSRN, May 10, 2019.
“Steering a Ship in Illiquid Waters: Active Management of Passive Funds,” by Naz Koont, Yiming Ma, Lubos Pastor, and Yao Zeng, SSRN, Feb. 2, 2023.
Manager Selection
“Judging Fund Managers by the Company They Keep,” by Randolph B. Cohen, Joshua D. Coval, and Lubos Pastor, SSRN, July 30, 2022.
“How Long Can a Good Fund Underperform?” by Maciej Kowara and Paul Kaplan, Morningstar.com, Aug. 17, 2018.
“Diseconomies of Scale in Active Management: Robust Evidence,” by Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor, and Min Zhu, SSRN, July 16, 2021.
Other
“Political Cycles and Stock Returns,” by Lubos Pastor and Pietro Veronesi, SSRN, May 28, 2019.
“Fifty Shades of QE: Comparing Findings of Central Bankers and Academics,” by Brian Fabo, Martina Jancokova, Elisabeth Kempf, and Lubos Pastor, SSRN, April 8, 2021.
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