Showing 1 - 10 of 74
Persistent link: https://www.econbiz.de/10001483301
Persistent link: https://www.econbiz.de/10001410127
Persistent link: https://www.econbiz.de/10001412832
Persistent link: https://www.econbiz.de/10001661701
Persistent link: https://www.econbiz.de/10001636406
Persistent link: https://www.econbiz.de/10002011415
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
We analyze the equilibrium size of the active management industry and the role of historical data - how investors use it to decide how much to invest in the industry, and how researchers use it to judge whether the industry's size is reasonable. As the industry's size increases, every manager's...
Persistent link: https://www.econbiz.de/10013134007
We argue that active management's popularity is not puzzling despite the industry's poor track record. Our explanation features decreasing returns to scale: As the industry's size increases, every manager's ability to outperform passive benchmarks declines. The poor track record occurred before...
Persistent link: https://www.econbiz.de/10013148870