Skill, Scale, and Value Creation in the Mutual Fund Industry

• 成果类型: Article
• 署名作者: Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier
• 署名单位: University of Luxembourg; Universita della Svizzera Italiana; University of Geneva
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13096
• 发表日期: 2022
• 页码: 601-638
• 关键词: MANAGERIAL SKILL; performance; size; INFORMATION; management; EFFICIENCY; liquidity; parameter; bootstrap; GROWTH

摘要

We develop a flexible and bias-adjusted approach to jointly examine skill, scalability, and value-added across individual funds. We find that skill and scalability (i) vary substantially across funds, and (ii) are strongly related, as great investment ideas are difficult to scale up. The combination of skill and scalability produces a value-added that (i) is positive for the majority of funds, and (ii) approaches its optimal level after an adjustment period (possibly due to investor learning). These results are consistent with theoretical models in which funds are skilled and able to extract economic rents from capital markets.