Distinguished Speaker Series: Professor Lubos Pastor (Ended)
Are Stocks Really Less Volatile in the Long Run?
Conventional wisdom views stocks as less volatile over long horizons than over short horizons due to mean reversion induced by return predictability. In contrast, we find stocks are substantially more volatile over long horizons from an investor's perspective. This perspective recognizes that parameters are uncertain, even with two centuries of data. Mean reversion contributes strongly to reducing long-horizon variance, but it is more than offset by various uncertainties faced by the investor. The same uncertainties also make target-date funds undesirable to a class of investors who would otherwise find them appealing.
Professor Lubos Pastor
Charles P. McQuaid Professor of Finance
The University of Chicago - Booth School of Business
Introduction by David Frank, CFA
Time, Date, and Location:
Monday, September 21, 2009
The Standard Club
320 S. Plymouth Court
12:00 - 1:00 pm
Biography: Professor Pastor is the Charles P. McQuaid Professor of Finance at the University of Chicago's Booth School of Business. He is also a Research Associate at the National Bureau of Economic Research and a Research Fellow at the Centre for Economic Policy and Research. In addition, he serves as an Associate Editor of the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. Professor Pastor has been teaching at Chicago Booth since 1999, where he has been teaching MBA courses in Investments and Portfolio Management, and he has also served as the faculty director for the Chicago Booth Executive Education program in Portfolio Management. His research covers various areas of financial economics such as liquidity, portfolio choice, mutual fund performance, stock valuation, stock volatility, stock return predictability, cost of capital, learning, and IPOs.
Eligible for 1 credit hour
This program qualifies for credit under the guidelines for the CFA Institute Continuing Education Program. Please click here if you would like more information.
11:30 AM - Registration
12:00 PM - Luncheon begins followed by the presentation
Chef's Choice (Fruit Plate available upon request)
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Non-Members - $55 (cash, check, credit card or function ticket)*
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