Empirical study of the tails of mutual fund size.
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best quantitatively discussed in terms of the tail behavior of the mut...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
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2010
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| _version_ | 1797102265670041600 |
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| author | Schwarzkopf, Y Farmer, J |
| author_facet | Schwarzkopf, Y Farmer, J |
| author_sort | Schwarzkopf, Y |
| collection | OXFORD |
| description | The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best quantitatively discussed in terms of the tail behavior of the mutual fund size distribution. We study the distribution empirically and show that the tail is much better described by a log-normal than a power law, indicating less concentration than, for example, personal income. The results are highly statistically significant and are consistent across fifteen years. This contradicts a recent theory concerning the origin of the power law tails of the trading volume distribution. Based on the analysis in a companion paper, the log-normality is to be expected, and indicates that the distribution of mutual funds remains perpetually out of equilibrium. |
| first_indexed | 2024-03-07T06:03:30Z |
| format | Journal article |
| id | oxford-uuid:ed0a94cb-c2d3-461a-9710-7a92dda00d12 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T06:03:30Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | oxford-uuid:ed0a94cb-c2d3-461a-9710-7a92dda00d122022-03-27T11:21:57ZEmpirical study of the tails of mutual fund size.Journal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:ed0a94cb-c2d3-461a-9710-7a92dda00d12EnglishSymplectic Elements at Oxford2010Schwarzkopf, YFarmer, JThe mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best quantitatively discussed in terms of the tail behavior of the mutual fund size distribution. We study the distribution empirically and show that the tail is much better described by a log-normal than a power law, indicating less concentration than, for example, personal income. The results are highly statistically significant and are consistent across fifteen years. This contradicts a recent theory concerning the origin of the power law tails of the trading volume distribution. Based on the analysis in a companion paper, the log-normality is to be expected, and indicates that the distribution of mutual funds remains perpetually out of equilibrium. |
| spellingShingle | Schwarzkopf, Y Farmer, J Empirical study of the tails of mutual fund size. |
| title | Empirical study of the tails of mutual fund size. |
| title_full | Empirical study of the tails of mutual fund size. |
| title_fullStr | Empirical study of the tails of mutual fund size. |
| title_full_unstemmed | Empirical study of the tails of mutual fund size. |
| title_short | Empirical study of the tails of mutual fund size. |
| title_sort | empirical study of the tails of mutual fund size |
| work_keys_str_mv | AT schwarzkopfy empiricalstudyofthetailsofmutualfundsize AT farmerj empiricalstudyofthetailsofmutualfundsize |