How Does Size Affect Mutual Fund Behavior

By Joshua Pollet, Mungo Wilson. 2008

392 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2c18d6a7086b1719174999bef9cc4066ccad7ddd

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Citations in the corpus

The Determinants of Mutual Fund Performance: A Cross-Country Study (2013, background): “(2004) and Pollet and Wilson (2008)).”
Giants at the Gate: Investment Returns and Diseconomies of Scale in Private Equity (2015, positive): “The economic magnitude of the 2Chen, Hong, Huang, and Kubik (2004) and Pollet and Wilson (2008) have documented diseconomies of scale for mutual funds, while Fung, Hsieh, Naik, and Ramadorai (2008) and Teo (2009) have found diseconomies of scale for hedge funds.”
The Road Less Traveled: Strategy Distinctiveness and Hedge Fund Performance (2012, background): “The “crowded-trade” effect occurs when an arbitrageur faces 4 See for example, Chen, Hong, Huang, and Kubik (2004); Pollet and Wilson (2008); and Wahal and Wang (2011).”
Exchange Traded Funds and Asset Return Correlations (2013, neutral): “…(ρjk;t) as: σ2pt∑ N j¼1 ∑ N k¼1 1 N2 ρjk;tσj;tσk;t ¼ σ2t ρt þ ∑ N j¼1 ∑ N k¼1 1 N2 ρjk;tξjk;t; ð2Þ where: σ2t 1 N ∑ N j¼1 σ2j;t; ð3Þ ρt 1 N2 ∑ N j¼1 ∑ N k¼1 ρjk;t; ð4Þ ξjk;tσj;tσk;t σ2t : ð5Þ Pollet & Wilson (2008) show that the product between the average variance and the average…”
How Active is Your Fund Manager? A New Measure That Predicts Performance (2009, background): “It is also supported by Pollet and Wilson (2008), who find that "funds overwhelmingly respond to asset growth by increasing their [existing] ownership shares rather than by increasing the number of investments in their portfolio.”
On the High Frequency Dynamics of Hedge Fund Risk Exposures (2013, positive): “Pollet and Wilson (2008) document that mutual funds rarely diversify in response to increases in their asset base, and associate their result with limits to the scalability of fund portfolios, such as price impact or liquidity constraints.”
Commonality in Liquidity: A Demand-Side Explanation (2016, positive): “Furthermore, mutual funds tend to scale up their existing holdings if they face inflows of new money (Pollet and Wilson, 2008), i.e. inflows should lead to liquidity demand for those stocks with high previous mutual fund ownership. 23 That high negative mutual fund flows lead to correlated liquidity”
A flow-based explanation for return predictability (2012, neutral): “One way to think about this regression is For example, Chen, Hong, Huang, and Kubik (2004) and Pollet and Wilson (2008) show that fund size is negatively related to expected fund returns, consistent with decreasing returns to deploying capital.”