Replication data for: Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and OrganizationJoseph Chen, Harrison Hong, Ming Huang & Jeffrey D. Kubik
We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most pronounced among funds that have to invest in small and illiquid stocks, suggesting that these adverse scale effects are related to...
1 citation reported since publication in 2003.
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