Does size affect mutual fund performance? A general approach
Laurent Bodson (),
Laurent Cavenaile and
Danielle Sougné
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Laurent Bodson: HEC-Management School, University of Liege
Journal of Asset Management, 2011, vol. 12, issue 3, No 2, 163-171
Abstract:
Abstract In this article, we study the potential relationship between mutual fund size and performance in a general framework. We sequentially test for a linear and a quadratic relationship using several traditional performance measures, as well as a new measure, on the basis of multi-factor models. We find evidence of a concave quadratic relationship between mutual-fund performance and size, which implies the existence of an optimal medium size in terms of performance.
Keywords: mutual funds; performance; size; assets under management; quadratic regression; concave relationship (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:12:y:2011:i:3:d:10.1057_jam.2011.30
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DOI: 10.1057/jam.2011.30
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