How Does Size Effect Mutual Fund Behavior?

Pollet, Joshua and Wilson, Mungo (2008) How Does Size Effect Mutual Fund Behavior? The Journal of Finance, 63 (6). pp. 2941-2969.

Abstract

If actively managed mutual funds suffer from diminishing returns to scale, funds should alter investment behavior as assets under management increase. Although asset growth has little effect on the behavior of the typical fund, we find that large funds and small-cap funds diversify their portfolios in response to growth. Greater diversification, especially for small-cap funds, is associated with better performance. Fund family growth is related to the introduction of new funds that hold different stocks from their existing siblings. Funds with many siblings diversify less rapidly as they grow, suggesting that the fund family may influence a fund's portfolio strategy.

Item Type: Article
Keywords: Fund families; Mutual funds; Price impact; Returns to scale
Subject(s): Finance
Centre: Faculty of Finance
Date Deposited: 25 Jan 2012 20:23
Last Modified: 23 Oct 2015 14:06
URI: http://eureka.sbs.ox.ac.uk/id/eprint/1629

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