Diseconomies of scale in quantitative and fundamental investment styles
- 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.
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| Author: | Richard B. Evans, Martin RohlederORCiDGND, Hendrik TenteschGND, Marco WilkensORCiDGND |
|---|---|
| URN: | urn:nbn:de:bvb:384-opus4-941326 |
| Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/94132 |
| ISSN: | 0022-1090OPAC |
| Parent Title (English): | Journal of Financial and Quantitative Analysis |
| Publisher: | Cambridge University Press |
| Place of publication: | Cambridge |
| Type: | Article |
| Language: | English |
| Year of first Publication: | 2023 |
| Publishing Institution: | Universität Augsburg |
| Release Date: | 2022/03/31 |
| Volume: | 58 |
| Issue: | 6 |
| First Page: | 2417 |
| Last Page: | 2445 |
| DOI: | https://doi.org/10.1017/S0022109022000618 |
| Institutes: | Wirtschaftswissenschaftliche Fakultät |
| Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre | |
| Wirtschaftswissenschaftliche Fakultät / Institut für Betriebswirtschaftslehre / Lehrstuhl für Finanz- und Bankwirtschaft | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Licence (German): |  CC-BY 4.0: Creative Commons: Namensnennung (mit Print on Demand) |
