Threshold Effect of Scale and Skill in Active Mutual Fund Management
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AbstractIn this paper, we apply threshold estimation techniques to study the size-performance relationship in the US mutual fund industry. Existing studies have found diseconomies of scale, and we add our contribution to this by considering possible non-linear decreasing returns to scale caused by fund age and manager tenure. We find significant threshold effects of both fund age and manager tenure at approximately three to four years in the size-performance relationship. Compared with younger funds, older funds have more severe decreasing returns to scale as the industry size increases.
All Author(s) ListTerence Tai-Leung Chong, Nayoung Lee, Chan-Ip Sio
Journal nameNorth American Journal of Economics and Finance
Year2020
Month1
Volume Number51
PublisherElsevier
Place of PublicationU.S.A.
Article number101079
ISSN1062-9408
eISSN1879-0860
LanguagesEnglish-United States
KeywordsActive mutual fund management, Returns to scale, Threshold estimation

Last updated on 2020-03-12 at 23:17