NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Scale and Skill in Active Management

Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor

NBER Working Paper No. 19891
Issued in February 2014

---- Acknowledgements -----

We are grateful for comments from Jonathan Berk, Mark Grinblatt, Leonid Kogan, Juhani Linnainmaa, Tim Simin (discussant), Scott Yonker (discussant), and the audiences at the 2013 AIM Investment Center Conference on Institutional Investment at the University of Texas at Austin, 2013 Inquire-Europe conference in Munich, 2013 NFA conference in Quebec City, 2014 Jackson Hole Finance Conference, as well as the universities of Houston, Melbourne, Notre Dame, Oklahoma, Pennsylvania (Wharton), Queensland, Rice, Rochester, Stockholm, Toronto, Western Australia, and WU Vienna. We are also grateful to Yeguang Chi for superb research assistance. This research was funded in part by the Initiative on Global Markets at the University of Chicago Booth School of Business, the Jacobs Levy Equity Management Center for Quantitative Financial Research, and the Terker Family Research Fellowship. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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