Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/233048 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1937
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
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 alone. When we explore the economics behind crowding, we establish that the diseconomies of crowding are distinct from the ones associated with size. Among several possible mechanisms, we find support for a) a preference for liquid stocks among crowded funds and b) differences in the propagation of price pressure from flows of connected funds. Our findings reveal that the tendency of managers to follow correlated strategies is a major source of diseconomies in the active fund industry.
Schlagwörter: 
Mutual funds
crowding
diseconomies of scale
JEL: 
G15
G23
Dokumentart: 
Working Paper

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