Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance
利用实际交易数据，研究了交易成本、投资组合特征与共同基金业绩之间的相互影响，发现大基金通过降低交易频率和持有大盘股来规避高交易成本，但规模扩大导致投资机会受限，从而降低总回报。
We study the interdependencies between transaction costs, portfolio characteristics, and mutual fund performance. Using a novel data set of actual mutual fund trades, we find that, controlling for investment style, larger funds realize lower percentage transaction costs than smaller funds. Larger mutual funds trade less frequently and hold bigger stocks to actively avoid incurring higher trading costs. Gross returns of larger funds are lower than those of smaller funds due, in part, to the characteristics of their holdings, which suggests that decreasing returns to scale could arise due to limited investment opportunities because of trading cost constraints. Taken together, our results highlight the trade-offs faced by mutual funds between trading costs, portfolio characteristics, and fund performance as they grow in size. This paper was accepted by Karl Diether, finance.