| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19891 |
| 来源ID | Working Paper 19891 |
| Scale and Skill in Active Management | |
| Lubos Pastor; Robert F. Stambaugh; Lucian A. Taylor | |
| 发表日期 | 2014-02-06 |
| 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 ; Financial Markets ; Financial Institutions ; Labor Economics ; Labor Supply and Demand |
| URL | https://www.nber.org/papers/w19891 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577564 |
| 推荐引用方式 GB/T 7714 | Lubos Pastor,Robert F. Stambaugh,Lucian A. Taylor. 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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