The role of fund size in the performance of mutual funds assessed with DEA models
Year: 2016
Type: article
Abstract: This contribution studies the role of the size of mutual funds in the evaluation of the fund performance with a data envelopment analysis (DEA) approach, with the aim of studying the issue from different angles and with different statistical tools and investigating the presence of a positive or negative size effect in mutual funds market. Firstly, we discuss the role of fund size in the performance evaluation and wonder whether it is appropriate to include size information among the variables of DEA models. Secondly, we analyse the presence of a relationship between the performance scores and the size of mutual funds using different statistical tests and carry out an empirical investigation on a set of European equity mutual funds. Thirdly, we study scale efficiency and investigate whether the European mutual funds analysed exhibit constant, increasing or decreasing returns to scale.
Source: European Journal of Finance
Authors: Antonella Basso, Stefania Funari
Institution: Ca' Foscari University of Venice
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W341042280