kaal:claim:2816408-021

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.

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.

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

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

• entire sample of 3,424 funds
• monthly cross sections December 2011 to December 2012

empiricalsupport: evidencedresearch-methodsprivate-funds

• extends kaal:claim:2389416-016 In simple linear regressions of monthly returns on log AUM across the full sample, the AUM coefficient is stat...
• contests kaal: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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