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Fund Tradeoffs / Lubos Pastor, Robert F. Stambaugh, Lucian A. Taylor.
- Format:
- Book
- Author/Creator:
- Pastor, Lubos.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23670.
- NBER working paper series no. w23670
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- We study tradeoffs among active mutual funds' characteristics. In both our equilibrium model and the data, funds with larger size, lower expense ratio, and higher turnover hold more-liquid portfolios. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio's holdings but also on the portfolio's diversification. We also confirm other model-predicted tradeoffs: Larger funds are cheaper. Larger and cheaper funds are less active, based on our new measure of activeness. Better-diversified funds hold less-liquid stocks; they are also larger, cheaper, and trade more. These tradeoffs provide novel evidence of diseconomies of scale in active management.
- Notes:
- Print version record
- August 2017.
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