학회소식
[2021년 제 6차] Capital Allocation and the Market for Mutual Funds: Inspecting the Mechanism
작성자 : 관리자
조회수 : 77
게시일 :
2021-12-07
We exploit heterogeneity in decreasing returns to scale parameters across funds to analyze their effects on capital allocation decisions in the mutual fund market. We find strong evidence that steeper decreasing returns to scale attenuate flow sensitivity to
performance, which has a large effect on equilibrium fund sizes. Our results are consistent with a rational model for active management. We argue that an important fraction of cross-sectional variation in fund sizes is due to investors rationally anticipating the effects of scale on return performance.
