Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: What Do the Outliers in the Data Tell Us?

Simple item page
dc.contributor.authorAdams, Johnen
dc.contributor.authorHayunga, Darrenen
dc.contributor.authorMansi, Sattar A.en
dc.date.accessioned2022-01-07T16:42:23Zen
dc.date.available2022-01-07T16:42:23Zen
dc.date.issued2018-12-31en
dc.date.updated2022-01-07T16:42:21Zen
dc.description.abstractRecent research suggests that improper identification of outliers can lead to distorted inference. We investigate this issue by examining the role that multivariate outliers play in research outcomes using the Chen et al. (2004) study. We find that the documented negative relation between scale and return performance in the actively managed mutual fund industry is an artifact of extreme observations. A manual examination of the most influential observations with verifications against outside sources shows that these outliers are largely bad data. Removing the errors reduces the point estimates on the effect of fund size, rendering it economically and statistically insignificant. Further analysis employing regressions that mitigate outlier-induced bias and extending the sample through 2014 confirm our findings. Our evidence contributes to the recent research on the importance of outlier identification in finance research.en
dc.description.notesSource info: Critical Finance Review, Forthcomingen
dc.description.versionAccepted versionen
dc.format.extentPages 273-329en
dc.format.mimetypeapplication/pdfen
dc.identifier.doihttps://doi.org/10.1561/104.00000063_suppen
dc.identifier.eissn2164-5760en
dc.identifier.issn2164-5744en
dc.identifier.issue2en
dc.identifier.orcidMansi, Sattar [0000-0001-7098-7996]en
dc.identifier.urihttp://hdl.handle.net/10919/107457en
dc.identifier.volume7en
dc.language.isoenen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectDiseconomies of scaleen
dc.subjectMutual funden
dc.subjectliquidityen
dc.subjectInfluential Observationsen
dc.subjectOutliersen
dc.titleDiseconomies of Scale in the Actively-Managed Mutual Fund Industry: What Do the Outliers in the Data Tell Us?en
dc.title.serialCritical Financial Reviewen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten
dc.type.otherArticleen
dcterms.dateAccepted2018-06-25en
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

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
AHM WP July 11 2018 SSRN.pdf
Size:
467.44 KB
Format:
Adobe Portable Document Format
Description:
Accepted version
Download

Collections

All Faculty Deposits
Scholarly Works, Finance, Insurance and Business Law