Informative fund size, managerial skill, and investor rationality

• 成果类型: Article
• 署名作者: Zhu, Min
• 署名单位: University of Queensland; Queensland University of Technology (QUT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.06.002
• 发表日期: 2018
• 页码: 114-134
• 关键词: mutual funds; Managerial skill; Diseconomies of scale; Investor rationality

摘要

This paper considers the nature of returns to scale in active management following Pastor et al. (2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced empirical strategy, we find a significant negative impact of fund size on performance. This empirical evidence indicates that fund alpha and fund size are not independent entities. Consequently, skill, rather than being measured by the fund alpha, should be measured by the value that a fund extracts from capital markets. We also show that there exist sophisticated investors who correctly exploit positive net present value investment opportunities. (C) 2018 Elsevier B.V. All rights reserved.