Scale Effects in Mutual Fund Performance: A Study of the Norwegian Market
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2580270Utgivelsesdato
2018Metadata
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- Master of Science [1622]
Sammendrag
In this paper, we investigate the effect of scale on performance in the Norwegian
mutual fund industry. The study includes a data sample free of survivorship bias
containing 70 Norwegian open-end actively managed mutual funds. Overall, we
find no statistically significant relationship between the lagged size of Norwegian
mutual funds and performance. Also, the study shows that there exist no liquidity
effects in the Norwegian mutual fund market of holding small-cap shares. Further,
we prove that a funds return does not decline with the lagged size of the family it
belongs to, suggesting that scale of mutual funds not necessarily need to be negative
depending on how the fund is organized.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018