Do Mutual Funds Have Decreasing Returns to Scale? Evidence from Fund Mergers

Persistent Link:
http://hdl.handle.net/10150/555943
Title:
Do Mutual Funds Have Decreasing Returns to Scale? Evidence from Fund Mergers
Author:
McLemore, Ping Wang
Issue Date:
2015
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
Using fund mergers as shocks to fund size, I analyze return-to-scale properties of mutual funds. The results show that acquiring funds experience performance deterioration after abnormal size increases due to mergers. Funds that have a larger shock in size at the time of mergers are more likely to experience worse declines in performance after the events. In the post-merger period, investors redeem their shares from the poorly performing acquiring funds, and both the declining performance and persistent capital outflows lead to decreases in size. As fund size decreases, performance tends to recover. These findings provide evidence that is consistent with mutual funds having decreasing returns to scale and more broadly with theoretical models of delegated portfolio, such as Berk and Green (2004).
Type:
text; Electronic Dissertation
Keywords:
Management
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Graduate College; Management
Degree Grantor:
University of Arizona
Advisor:
Sias, Richard; Kelley, Eric
Committee Chair:
Sias, Richard; Kelley, Eric

Full metadata record

DC FieldValue Language
dc.language.isoen_USen
dc.titleDo Mutual Funds Have Decreasing Returns to Scale? Evidence from Fund Mergersen_US
dc.creatorMcLemore, Ping Wangen
dc.contributor.authorMcLemore, Ping Wangen
dc.date.issued2015en
dc.publisherThe University of Arizona.en
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en
dc.description.abstractUsing fund mergers as shocks to fund size, I analyze return-to-scale properties of mutual funds. The results show that acquiring funds experience performance deterioration after abnormal size increases due to mergers. Funds that have a larger shock in size at the time of mergers are more likely to experience worse declines in performance after the events. In the post-merger period, investors redeem their shares from the poorly performing acquiring funds, and both the declining performance and persistent capital outflows lead to decreases in size. As fund size decreases, performance tends to recover. These findings provide evidence that is consistent with mutual funds having decreasing returns to scale and more broadly with theoretical models of delegated portfolio, such as Berk and Green (2004).en
dc.typetexten
dc.typeElectronic Dissertationen
dc.subjectManagementen
thesis.degree.namePh.D.en
thesis.degree.leveldoctoralen
thesis.degree.disciplineGraduate Collegeen
thesis.degree.disciplineManagementen
thesis.degree.grantorUniversity of Arizonaen
dc.contributor.advisorSias, Richarden
dc.contributor.advisorKelley, Ericen
dc.contributor.chairSias, Richarden
dc.contributor.chairKelley, Ericen
dc.contributor.committeememberSias, Richarden
dc.contributor.committeememberKelley, Ericen
dc.contributor.committeememberCederburg, Scotten
dc.contributor.committeememberHirano, Keisukeen
dc.contributor.committeememberKlasa, Sandyen
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