| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16376 |
| DP16376 Diseconomies of Scale in Active Management: Robust Evidence | |
| Luboš Pástor; Robert F. Stambaugh; Lucian Taylor; Min Zhu | |
| 发表日期 | 2021-07-20 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | 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 methods, we confirm both studies' inferences about scale diseconomies at the fund and industry levels. Moreover, data errors play no role, as both studies' results are insensitive to applying various error screens and using alternative return benchmarks. We reject constant returns to scale even after dropping 25% of the most extreme return observations. Finally, we caution that asymmetric removal of influential observations delivers biased conclusions about diseconomies of scale. |
| 主题 | Financial Economics |
| 关键词 | Returns to scale Diseconomies of scale Active management Robust regression |
| URL | https://cepr.org/publications/dp16376 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545340 |
| 推荐引用方式 GB/T 7714 | Luboš Pástor,Robert F. Stambaugh,Lucian Taylor,et al. DP16376 Diseconomies of Scale in Active Management: Robust Evidence. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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