| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23670 |
| 来源ID | Working Paper 23670 |
| Fund Tradeoffs | |
| Lubos Pastor; Robert F. Stambaugh; Lucian A. Taylor | |
| 发表日期 | 2017-08-14 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We study tradeoffs among active mutual funds' characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio's holdings but also on the portfolio's diversification. We also confirm other model-predicted tradeoffs: Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure of activeness. Better-diversified funds hold less-liquid stocks; they are also larger, cheaper, and trade more. These tradeoffs provide novel evidence of diseconomies of scale in active management. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w23670 |
| 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/581344 |
| 推荐引用方式 GB/T 7714 | Lubos Pastor,Robert F. Stambaugh,Lucian A. Taylor. Fund Tradeoffs. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23670.pdf（566KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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