Scale and Performance in Active Management are Not Negatively Related

dc.contributor.authorAdams, Johnen
dc.contributor.authorHayunga, Darrenen
dc.contributor.authorMansi, Sattar A.en
dc.date.accessioned2021-12-14T22:12:33Zen
dc.date.available2021-12-14T22:12:33Zen
dc.date.issued2021-08-16en
dc.date.updated2021-12-14T22:12:31Zen
dc.description.abstractWe revisit the nature of returns to scale following Pástor, Stambaugh, and Taylor (2015). Using replicated versions of their domestic equity fund sample, we confirm their negative and significant relation between industry scale and performance. However, upon closer examination we find the diseconomies of scale at the industry level result is an artifact of data errors that comprise less than 0.05% of the sample―168 out of 332,516 observations―that occurred most often in the year 2000. We are unable to find industry level diseconomies of scale in the post 2001 era. A major source of these errors is the incorrect use of Morningstar’s current performance benchmarks to measure historical return performance. We confirm the non-result findings using Fama-French three-factor adjusted returns, which are not subject to benchmarking errors.en
dc.description.versionAccepted versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.orcidMansi, Sattar [0000-0001-7098-7996]en
dc.identifier.urihttp://hdl.handle.net/10919/106990en
dc.language.isoenen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.titleScale and Performance in Active Management are Not Negatively Relateden
dc.title.serialUniversity of Georgiaen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten
dc.type.otherArticleen
dcterms.dateAccepted2021-08-16en
pubs.organisational-group/Virginia Techen
pubs.organisational-group/Virginia Tech/Pamplin College of Businessen
pubs.organisational-group/Virginia Tech/Pamplin College of Business/Finance, Insurance, and Business Lawen
pubs.organisational-group/Virginia Tech/All T&R Facultyen
pubs.organisational-group/Virginia Tech/Pamplin College of Business/PCOB T&R Facultyen
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