Is the active fund management industry concentrated enough?

• 成果类型: Article
• 署名作者: Feldman, David; Saxena, Konark; Xu, Jingrui
• 署名单位: University of New South Wales Sydney; Xiamen University; Xiamen University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.08.009
• 发表日期: 2020
• 页码: 23-43
• 关键词: Active fund management; Market concentration; Effort; Industry size; alpha

摘要

We introduce a theoretical model of the active fund management industry (AFMI) in which performance and size depend on the AFMI's competitiveness (concentration). Under plausible assumptions, as AFMI's concentration decreases, so do fund managers' incentives for exerting effort in search of alpha. Consequently, managers produce lower gross alpha, and rational investors, inferring lower expected AFMI performance, allocate a smaller portion of their wealth to active funds. Empirically, we find that a decrease in the US mutual fund industry concentration over our sample period is associated with a decrease in its net alpha and size (relative to stock market capitalization). (C) 2019 Elsevier B.V. All rights reserved.