Lucian Taylor

Research

Working

Dissecting Green Returns

Joint with Lubos Pastor, Robert F. Stambaugh

February 2022
Online Appendix

Featured by the Becker Friedman Institute, Bloomberg (October 2021), Financial Times (June 2021, September 2021), Investment News (July 2021, September 2021), New York Times (November 2021), Pensions & Investments (November 2021), and Knowledge@Wharton.

Published or Forthcoming

Dissecting Bankruptcy Frictions

Joint with Winston Wei Dou, Wei Wang, Wenyu Wang

Journal of Financial Economics, 2021, 142: 975-1000
Online Appendix

Editor's choice at the JFE, December 2021

Diseconomies of Scale in Active Management: Robust Evidence

Joint with Lubos Pastor, Robert F. Stambaugh, Min Zhu

Critical Finance Review, forthcoming

Featured in the Chicago Booth Review (December 2021)

Sustainable Investing in Equilibrium

Joint with Lubos Pastor, Robert F. Stambaugh

Journal of Financial Economics, 2021, 142: 550-571
Presentation from SFS Cavalcade (25 minute video)

AQR Insight Award, Distinguished Paper, 2021. Featured in the Wharton Magazine (Spring/Summer 2021), Harvard Law School Forum on Corporate Governance (April 9, 2021), Chicago Booth Review (February 23, 2021), Knowledge@Wharton (November 9, 2020), Advisor Perspectives (February 19, 2020).

Fund Tradeoffs

Joint with Lubos Pastor, Robert F. Stambaugh

Journal of Financial Economics, 2020, 138: 614-634
Download our data (zip file including documentation)
Internet Appendix

Winner of the QMA Award for Best Paper on Investment Management at the 2018 WFA. Winner of the Jacobs Levy Center Research Paper Prize for Best Paper, 2018. Co-winner of the Marshall Blume Prize in Financial Research, 2019. AQR Insight Award, Honorable Mention, 2019. 

Summaries in the Chicago Booth Review: 

Inefficiencies and Externalities from Opportunistic Acquirers

Joint with Di Li, Wenyu Wang

Journal of Financial Economics, 2018, 130: 265-290
Online Appendix

Short summary featured in the Harvard Law School Forum on Corporate Governance and Financial Regulation (April 2016).

Do Funds Make More When They Trade More?

Joint with Lubos Pastor, Robert F. Stambaugh

Journal of Finance, 2017, 72:1483-1528
Online Appendix

A one-page summary, Capital Ideas, July 2015.

Scale and Skill in Active Management

Joint with Lubos Pastor, Robert F. Stambaugh

Journal of Financial Economics, 2015, 116: 23-45
Data Appendix
Online Appendix

Winner of the 2015 Fama/DFA Prize for best paper at the JFE (first place). Winner of the 2014 Best Paper Award, Rothschild Caesarea Center 11th Annual Academic Conference. Winner of the 2014 Marshall Blume Prize in Financial Research for the best Wharton working paper (honorable mention). Winner of the 2014 Jacobs Levy Center Research Paper Prize for Best Paper. A one-page summary, Capital Ideas, March 2014.   Featured in the NBER Digest (June, 2014), Wall Street Journal (February 22, 2014), Morningstar’s Rekenthaler Report (a four-part series: Part 1, Part 2, Part 3, Part 4), CNN Money (March 2, 2014),Seeking Alpha (February 19, 2014), International Financing Review (February 26, 2014), Parkiet(February 25, 2014; in Polish).

CEO Wage Dynamics: Estimates from a Learning Model

Journal of Financial Economics, 2013, 108(1): 79-98
Technical Appendix

Work in Progress