Fund Size and Performance: Evidence from Daily Returns

40 Pages Posted: 27 Jun 2018 Last revised: 10 Sep 2018

See all articles by Vijay N. Yadav

Vijay N. Yadav

ESSEC Business School; ESSEC Business School

Date Written: June 27, 2018

Abstract

Using daily mutual fund returns data from January 2000 to December 2017, we find that smaller funds perform better on Mondays, Tuesdays and Wednesdays whereas larger funds perform better on Thursdays and Fridays in terms of market-adjusted return, CAPM alpha, 3-Factor alpha and 4-Factor alpha. Overall, smaller funds perform better than larger funds. These patterns are not fully explained by the characteristics of fund holdings including stock size measured by market equity, Amihud illiquidity and bid-ask spread of stocks in fund portfolios. The results persist even after controlling for Active Share of funds and using benchmark-adjusted returns.

Keywords: Mutual funds; Daily returns; Fund size; Economies of scale; Day of the week

JEL Classification: G2

Suggested Citation

Yadav, Vijay N., Fund Size and Performance: Evidence from Daily Returns (June 27, 2018). 31st Australasian Finance and Banking Conference 2018, Available at SSRN: https://ssrn.com/abstract=3203290 or http://dx.doi.org/10.2139/ssrn.3203290

Vijay N. Yadav (Contact Author)

ESSEC Business School ( email )

3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX 95021
France

ESSEC Business School ( email )

3 Avenue Bernard Hirsch
CS 50105 CERGY
CERGY, CERGY PONTOISE CEDEX 95021
France

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
73
Abstract Views
648
Rank
580,727
PlumX Metrics