Liquidity, Investment Style, and the Relation between Fund Size and Fund Performance
利用1993至2002年美国主动管理股票型共同基金的交易和持仓数据，发现基金规模与业绩呈显著负相关，且这种关系在持有流动性较差组合、增长型和高换手率的基金中更为明显，表明流动性是规模侵蚀业绩的重要原因。
Abstract Using stock transactions data along with detailed stockholdings for a comprehensive sample of U.S. actively managed equity mutual funds from 1993 to 2002, this paper empirically examines the effect of liquidity and investment style on the relation between fund size and fund performance. Consistent with Chen, Hong, Huang, and Kubik (2004), I find a significant inverse relation between fund size and fund performance. Further, this inverse relation is stronger among funds that hold less liquid portfolios. The inverse relation between fund size and fund performance is also more pronounced among growth and high turnover funds that tend to have high demands for immediacy. Overall, this paper's findings suggest that liquidity is an important reason why fund size erodes performance.