In simple linear regressions of monthly returns on log AUM across December 2011 to December 2012, fund size does not appear to matter for fund returns because only a few coefficients are statistically significant and those remain close to zero.
Source quote, verbatim
We conclude that size of the funds in our sample does not appear to matter for fund returns as only a few coefficients are statistically significant but are still close to zero.
From
Wulf A. Kaal, Barbara Luppi, Sandra Paterlini, Did the Dodd-Frank Act Impact Private Fund Performance – Evidence from 2010 – 2015 (2016), 5.2.1. Linear Regression, p. 9 https://ssrn.com/abstract=2816408 · source PDF
Cite as
Wulf A. Kaal, Barbara Luppi, Sandra Paterlini, Did the Dodd-Frank Act Impact Private Fund Performance – Evidence from 2010 – 2015 (2016). SSRN: https://ssrn.com/abstract=2816408
Holds when
entire sample of 3,424 funds
monthly cross sections December 2011 to December 2012
extendskaal:claim:2389416-016 In simple linear regressions of monthly returns on log AUM across the full sample, the AUM coefficient is stat...
contestskaal:claim:2389416-017 In the period close to and following the registration effective date, fund size has a positive relationship wi...
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