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

被引：12

作者：

Barras, Laurent ^{[1
]}

Gagliardini, Patrick ^{[2
,3
]}

Scaillet, Olivier ^{[4
,5
]}

机构：

[1] Univ Luxembourg, 6 Rue Richard Coudenhove Kalergi, L-1359 Luxembourg, Luxembourg

[2] Univ Svizzera Italiana USI Lugano, Lugano, Switzerland

[3] Swiss Finance Inst SFI, Zurich, Switzerland

[4] Univ Geneva, Geneva Finance Res Inst GFRI, Geneva, Switzerland

[5] SFI, Zurich, Switzerland

来源：

JOURNAL OF FINANCE | 2022年 / 77卷 / 01期

关键词：

MANAGERIAL SKILL; PERFORMANCE; SIZE; INFORMATION; MANAGEMENT; EFFICIENCY; LIQUIDITY; PARAMETER; BOOTSTRAP; GROWTH;

D O I：

10.1111/jofi.13096

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：601 / 638

页数：38

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