EconPapers    
Economics at your fingertips  
 

How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

Jonathan Reuter and Eric Zitzewitz ()

No 16329, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete changes in Morningstar ratings that, in turn, generate discrete differences in size. Despite robust evidence that Morningstar ratings increase fund size, our regression discontinuity estimates yield little evidence that fund size erodes returns. Consequently, any downward bias in standard estimates of performance persistence due to diseconomies of scale is likely to be small.

JEL-codes: G14 G23 G24 (search for similar items in EconPapers)
Date: 2010-09
Note: AG AP
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21) Track citations by RSS feed

Downloads: (external link)
http://www.nber.org/papers/w16329.pdf (application/pdf)

Related works:
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:nbr:nberwo:16329

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w16329

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-07-10
Handle: RePEc:nbr:nberwo:16329