Threshold effect of scale and skill in active mutual fund management

Terence Tai Leung Chong, Nayoung Lee and Chan-Ip Sio

The North American Journal of Economics and Finance, 2020, vol. 51, issue C

Abstract: In 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.

Keywords: Active mutual fund management; Returns to scale; Threshold estimation (search for similar items in EconPapers)
JEL-codes: C24 G11 G23 J24 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940818305618
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Threshold Effect of Scale and Skill in Active Mutual Fund Management (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305618

DOI: 10.1016/j.najef.2019.101079

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().