Fund tradeoffs

• 成果类型: Article
• 署名作者: Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); National Bank of Slovakia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.06.005
• 发表日期: 2020
• 页码: 614-634
• 关键词: Fund tradeoffs; Fund characteristics; Portfolio liquidity; diversification

摘要

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 portfolio's holdings but also on the portfolio's diversification. We also confirm other model-predicted tradeoffs. Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure of activeness. Better-diversified funds hold less-liquid stocks; they are also larger and cheaper, and they trade more. These tradeoffs provide novel evidence of diseconomies of scale in active management. (C) 2020 Elsevier B.V. All rights reserved.