Capacity effects and winner fund performance: the relevance and interactions of fund size and family characteristics
Capacity effects and winner fund performance: the relevance and interactions of fund size and family characteristics
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能力效应和赢家基金绩效：基金规模和家族特征的相关性和相互作用
DOI：
10.1080/1351847x.2014.899732
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Peter Lückoff
中科院分区：
文献类型：
--
作者：
W. Bessler;L. Kryzanowski;Philipp Kurmann;Peter Lückoff
本文分析了1992 - 2007年美国股票型共同基金是否存在容量效应和业绩持续性。我们专注于赢家基金，区分规模和资金流入的能力效应，并探讨它们与两个衡量家族规模的指标的相互作用，即家族管理的总净资产（家族TNA）和家族层面的基金数量（家族广度）。家庭规模的差异化使我们能够分析家庭层面的竞争效应，如规模经济以及组织复杂性、成本和利益冲突。我们的实证结果证实了规模不经济的赢家基金的水平，并表明，只有小赢家基金与低流入显着优于四因素基准的净回报率的基础上。在家庭层面上，规模经济并没有普遍的好处，但我们的研究结果表明，在提供相对大量资金的家庭中存在利益冲突。在提供少量基金的家族中，小赢家基金的表现明显优于其他基金，而规模经济只在极小的赢家基金中实现。我们提供了详细的鲁棒性检查我们的实证结果。总的来说，仅仅以基金规模为条件并不足以选择未来表现优异的基金。研究结果表明，基金投资者在进行资产配置决策时，将基金规模信息与基金流量或基金家族关系信息相结合，可以获得正的异常收益。
This study analyzes the existence of capacity effects and performance persistence for US equity mutual funds for the period from 1992 to 2007. We focus on winner funds and distinguish between capacity effects from both size and inflows and explore their interactions with two measures of family size, i.e. family total net assets under management (family TNA) and the number of funds at the family level (family breadth). The differentiation of family size allows us to analyze competing effects at the family level such as economies of scale as well as organizational complexity costs and conflicts of interest. Our empirical results confirm diseconomies of scale at the winner fund level and indicate that only small winner funds with low inflows significantly outperform the four-factor benchmark on a net return basis. There are no universal benefits from economies of scale at the family level, but our findings suggest the existence of conflicts of interest in families offering a relatively large number of funds. Small winner funds in families offering a small number of funds significantly outperform while economies of scale only materialize among extremely small winner funds. We provide detailed robustness checks for our empirical results. Overall, simply conditioning on fund size is not sufficient for selecting future outperforming funds. The results indicate that fund investors may earn positive abnormal returns when combining information on fund size with information on fund flows or fund family affiliations in their asset allocation decisions.