We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Diseconomies of Scale in Quantitative and Fundamental Investment Styles.
- Authors
Evans, Richard B.; Rohleder, Martin; Tentesch, Hendrik; Wilkens, Marco
- Abstract
We examine diseconomies of scale for two different investment approaches: quantitative and fundamental. Using separate account (SA) data where the investment approach is self-identified, we find that fundamental SAs exhibit greater diseconomies of scale than quantitative SAs. Looking at liquidity costs, we find that quantitative SAs hold more diversified portfolios of higher liquidity stocks than fundamental SAs, thereby reducing their expected liquidity costs. We also find that consistent with lower information processing/hierarchy costs, the speed of information diffusion is higher for quant SAs. Accounting for these differences helps to explain the differences in diseconomies of scale.
- Subjects
DISECONOMIES of scale; INVESTMENTS; INVESTMENT management; ASSET management; LIQUIDITY (Economics); INVESTMENT advisors
- Publication
Journal of Financial & Quantitative Analysis, 2023, Vol 58, Issue 6, p2417
- ISSN
0022-1090
- Publication type
Article
- DOI
10.1017/S0022109022000618