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Mutual Fund Size and Fund Performance

Urdahl, Line; Vasset, Sandra
Master thesis
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2286373.pdf (2.021Mb)
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http://hdl.handle.net/11250/2623115
Utgivelsesdato
2019
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Samlinger
  • Master of Science [1117]
Sammendrag
This thesis studies the relationship between size and performance for 67 equity

mutual funds in Norway, using a 14 years dataset free of survivorship bias from

January 2005 to December 2018. We construct three portfolios based on the

funds’ size and evaluate their performance by looking at their risk-adjusted return

estimated from various factor models. We find no significant evidence that

Norwegian mutual funds are able to beat their benchmark, both gross of fees and

net of fees. Further, we study the relationship between fund size and performance

while controlling for different fund characteristics. We find a statistically

significant negative relationship between fund size and performance. Thus, our

results indicate that size matters for mutual fund performance in Norway. We

suggest that these findings come from price mechanisms, complex decisionmaking

processes, and the fact that the Norwegian mutual fund market has a

narrow asset base that could cause investors to dilute their best ideas.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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