In order to evaluate the performance of socially responsible investment (SRI) funds, we propose some models which use data envelopment analysis and can be computed in all phases of the business cycle. These models focus on the most crucial elements of an investment in mutual funds.In the...

The fund size is highly persistent and correlated with risk factor loadings. Hence, it is unrealistic to assume constant diseconomies of scale over a long time. The traditional two-step method underestimates the uncertainty of diseconomies of scale. We propose a one-step procedure with a random...

Theoretical models imply fund size and performance should be negatively linked. However, empiricists have failed to uncover consistent support for this negative relation. Using a new econometric framework which includes fund-specific sensitivities to decreasing returns to scale, we find a both...

The literature has been unable to provide a definitive model of the sources and nature of mutual fund scale economies and diseconomies. This study provides findings on the sources and nature of fund economies and diseconomies with respect to expenses, size, performance, trading, and numerous...

The literature has been unable to provide a definitive model of the sources and nature of mutual fund scale economies and diseconomies. This study provides findings on the nature and sources of fund economies and diseconomies with respect to expenses, size, performance, trading, and numerous...

Actively managed mutual funds exhibit heterogeneous and time-varying returns to fund and industry scale. When a fund starts out, it exhibits increasing returns to scale (IRS) to industry size and decreasing returns to scale (DRS) to fund size. As funds get older and larger, industry size IRS...

We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds which are actively managed. Funds in the top decile of crowding underperform the passive benchmark by 1.4% per year. The poor performance cannot be attributed to fees and transaction costs...

Historically, the literature on money management has not consistently applied the rational expectations equilibrium concept. We explain why and summarize developments in the money management literature that do apply this concept correctly. We demonstrate that the rational expectations...