| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9854 |
| DP9854 Scale and Skill in Active Management | |
| Robert F. Stambaugh; Luboš Pástor; Lucian Taylor | |
| 发表日期 | 2014-03-02 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We empirically analyze the nature of returns to scale in active mutual fund management. We find strong evidence of decreasing returns at the industry level: As the size of the active mutual fund industry increases, a fund's ability to outperform passive benchmarks declines. At the fund level, all methods considered indicate decreasing returns, but estimates that avoid econometric biases are insignificant. We also find that the active management industry has become more skilled over time. This upward trend in skill coincides with industry growth, which precludes the skill improvement from boosting fund performance. Finally, we find that performance deteriorates over a typical fund's lifetime. This result can also be explained by industry-level decreasing returns to scale. |
| 主题 | Financial Economics ; Labour Economics |
| 关键词 | Mutual funds Returns to scale Skill |
| URL | https://cepr.org/publications/dp9854 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538688 |
| 推荐引用方式 GB/T 7714 | Robert F. Stambaugh,Luboš Pástor,Lucian Taylor. DP9854 Scale and Skill in Active Management. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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