Skill, Scale, and Value Creation in the Mutual Fund Industry
提出一种灵活且偏差调整的方法，联合考察各基金的技能、可扩展性和增加值，发现技能与可扩展性差异大且密切相关，多数基金增加值在调整期后接近最优水平。
ABSTRACT We develop a flexible and bias‐adjusted approach to jointly examine skill, scalability, and value‐added across individual funds. We find that skill and scalability (i) vary substantially across funds, and (ii) are strongly related, as great investment ideas are difficult to scale up. The combination of skill and scalability produces a value‐added that (i) is positive for the majority of funds, and (ii) approaches its optimal level after an adjustment period (possibly due to investor learning). These results are consistent with theoretical models in which funds are skilled and able to extract economic rents from capital markets.