What Drives Mutual Fund Asset Concentration?

@article{Schwarzkopf2010WhatDM,
  title={What Drives Mutual Fund Asset Concentration?},
  author={Yonathan Schwarzkopf and J. Doyne Farmer},
  journal={American Finance Association Meetings (AFA)},
  year={2010}
}
Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which dictates that fund performance is size independent and fund growth is essentially random. The random process is characterized by entry, exit and growth. We present a new time-dependent solution for the standard equations used in the industrial organization… 
An Empirical Study of the Tails of Mutual Fund Size
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the
Turnover, Account Value and Diversification of Real Traders: Evidence of Collective Portfolio Optimizing Behavior
Despite the availability of very detailed data on financial markets, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate
Systemic risk from investment similarities
TLDR
It is shown that, on average, portfolios have become more diversified and less similar during the crisis, but it is also found that large overlap is far more likely than expected from benchmark models of random allocation of investments, which indicates the existence of strong correlations between fund investment strategies.
How Fast Can Firms Grow?
Summary Building on recent research on dynamic, high-growth firms - so-called “gazelles” - this paper explores a simple question that is important in both theoretical and practical terms: What is the
An Explanation of Universality in Growth Fluctuations
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, and the scientific output of universities all show unusual but remarkably similar growth
ELSS Mutual Fund Preferences of Indian Tax Savers
Tax planning strategies are important for tax payers whose aim is to reduce their tax outgo on various types of income and capital gains. While there are several tax saving instruments that qualify
Hypotheses non fingo: Problems with the scientific method in economics
Although it is often said that economics is too much like physics, to a physicist economics is not at all like physics. The difference is in the scientific methods of the two fields: theoretical

References

SHOWING 1-10 OF 54 REFERENCES
Empirical study of the tails of mutual fund size.
TLDR
It is shown that the tail is much better described by a log-normal than a power law, indicating less concentration than, for example, personal income, and indicates that the distribution of mutual funds remains perpetually out of equilibrium.
An Empirical Study of the Tails of Mutual Fund Size
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the
Short-Term Persistence in Mutual Fund Performance
We estimate parameters of standard stock selection and market timing models using daily mutual fund returns and quarterly measurement periods. We then rank funds quarterly by abnormal return and
The size variance relationship of business firm growth rates
TLDR
A model of proportional growth, which treats firms as classes composed of various numbers of units of variable size, can explain this size-variance dependence and is found to be consistent with the empirically observed size- Variance relationship.
A theory of power-law distributions in financial market fluctuations
TLDR
This model is based on the hypothesis that large movements in stock market activity arise from the trades of large participants, and explains certain striking empirical regularities that describe the relationship between large fluctuations in prices, trading volume and the number of trades.
Size-dependent standard deviation for growth rates: empirical results and theoretical modeling.
TLDR
A stochastic process for multiple cross-correlated variables is proposed where for each variable the distribution of logarithmic growth rates decays exponentially in the central part, the distribution in the tails decays algebraically in the far tails, and the standard deviation of the logarathmic growth rate depends algebraically on the average size of the stochastically variable.
Scaling behaviour in the growth of companies
A SUCCESSFUL theory of corporate growth should include both the external and internal factors that affect the growth of a company1–18. Whereas traditional models emphasize production-related
Firm Diversification and the Law of Proportionate Effect
The paper presents an analysis performed over the worldwide top 150 firms in the pharmaceutical industry. It begins with a test of the Gibrat's Law of Proportionate Effect finding, in line with
Scaling behavior in economics: II. Modeling of company growth
In the preceding paper we presented empirical results describing the growth of publicly-traded United States manufacturing firms within the years 1974--1993. Our results suggest that the data can be
...
...