Critical Finance Review· 23 May 2018

主动管理共同基金业的规模不经济：数据中的异常值告诉我们什么？

作者：John Adams(University of Texas at Arlington), Darren Hayunga(University of Georgia), Sattar Mansi(Virginia Tech)

摘要：最近的研究表明，异常值的不正确识别可能导致扭曲的推断。我们通过检验多元异常值在Chen、Hong、Huang和Kubik（2004）研究结果中起到的作用，来研究这个问题。我们发现，在积极管理的共同基金行业中，规模和回报表现之间的负相关关系是极端观测的产物。通过对最具影响力的观测值进行手动检测以及对外部数据来源进行确认，结果表明这些异常值主要是不良数据。消除误差减少了对基金规模效应的点估计，使其在经济上和统计上不显著。进一步的分析采用回归以减少异常值引起的误差并且扩展了样本，通过2014的数据证实了我们的发现。我们的证据有助于探索异常值识别在金融研究中的重要性。

关键词：规模不经济，共同基金，流动性，影响点，异常值

Diseconomies of Scale in the Actively-Managed Mutual Fund Industry: What Do the Outliers in the Data Tell Us?

John Adams(University of Texas at Arlington), Darren Hayunga(University of Georgia), Sattar Mansi(Virginia Tech)

ABSTRACT

Recent research suggests that improper identification of outliers can lead to distorted inference. We investigate this issue by examining the role that multivariate outliers play in research outcomes using the Chen, Hong, Huang, and Kubik (2004) study. We find that the documented negative relation between scale and return performance in the actively managed mutual fund industry is an artifact of extreme observations. A manual examination of the most influential observations with verifications against outside sources shows that these outliers are largely bad data. Removing the errors reduces the point estimates on the effect of fund size, rendering it economically and statistically insignificant. Further analysis employing regressions that mitigate outlier-induced bias and extending the sample through 2014 confirm our findings. Our evidence contributes to the recent research on the importance of outlier identification in finance research.

Key Words: Diseconomies of scale, Mutual fund, liquidity, Influential Observations, Outliers

原文链接：http://cfr.ivo-welch.info/readers/2019/adams-hayunga-mansi.pdf

翻译：施懿