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We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level,...
Persistent link: https://www.econbiz.de/10013006184
We study tradeoffs among active mutual funds' characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the...
Persistent link: https://www.econbiz.de/10012949931
We take a deeper look at the robustness of evidence presented by Pastor, Stambaugh, and Taylor (2015) and Zhu (2018), who find that an actively managed mutual fund's returns relate negatively to both fund size and the size of the active mutual fund industry. When we apply robust regression...
Persistent link: https://www.econbiz.de/10013219276
Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the ``greenium'' widened, and U.S. green stocks outperformed...
Persistent link: https://www.econbiz.de/10013222853
We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to out-perform passive benchmarks declines. At the fund level,...
Persistent link: https://www.econbiz.de/10013059535
We estimate financial institutions' portfolio tilts that relate to stocks' environmental, social, and governance (ESG) characteristics. We find ESG-related tilts totaling 6% of the investment industry's assets under management in 2021. ESG tilts are significant at both the extensive margin...
Persistent link: https://www.econbiz.de/10014354083
Persistent link: https://www.econbiz.de/10015204864
We quantify the U.S. corporate sector's carbon externality by computing the sector's "carbon burden"--the present value of social costs of its future carbon emissions. Our baseline estimate of the carbon burden is 131% of total corporate equity value. Among individual firms, 77% have carbon...
Persistent link: https://www.econbiz.de/10015145061
Persistent link: https://www.econbiz.de/10015162781
We review the literature on sustainable investing, focusing on financial effects. First, we examine the effects of investor tastes on portfolio tilts and asset prices in a simple equilibrium setting. We establish novel connections, including a direct relation between the green portfolio tilt and...
Persistent link: https://www.econbiz.de/10015171655