Diseconomies of Scale in Quantitative and Fundamental Investment Styles
研究了量化投资和基本面投资两种方法中的规模不经济现象，发现基本面投资比量化投资面临更大的规模不经济，原因在于量化投资组合更分散、持有流动性更高的股票，且信息传播速度更快。
Abstract We examine diseconomies of scale for two different investment approaches: quantitative and fundamental. Using separate account (SA) data where the investment approach is self-identified, we find that fundamental SAs exhibit greater diseconomies of scale than quantitative SAs. Looking at liquidity costs, we find that quantitative SAs hold more diversified portfolios of higher liquidity stocks than fundamental SAs, thereby reducing their expected liquidity costs. We also find that consistent with lower information processing/hierarchy costs, the speed of information diffusion is higher for quant SAs. Accounting for these differences helps to explain the differences in diseconomies of scale.