Diseconomies of Scale in Quantitative and Fundamental Investment Styles

نویسندگان

چکیده

Abstract We examine diseconomies of scale for two different investment approaches: quantitative and fundamental. Using separate account (SA) data where the approach is self-identified, we find that fundamental SAs exhibit greater than SAs. Looking at liquidity costs, hold more diversified portfolios higher stocks SAs, thereby reducing their expected costs. also consistent with lower information processing/hierarchy speed diffusion quant Accounting these differences helps to explain in scale.

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ژورنال

عنوان ژورنال: Journal of Financial and Quantitative Analysis

سال: 2022

ISSN: ['1756-6916', '0022-1090']

DOI: https://doi.org/10.1017/s0022109022000618