The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete changes in Morningstar ratings that, in turn, generate discrete differences in fund size. Using our regression discontinuity approach, we find that ratings significantly increase fund size, but that fund size has a negligible effect on fund returns. Within Berk and Green’s (2004) model, the absence of meaningful fund-level diseconomies of scale implies that the lack of performance persistence arises from a lack of fund manager skill. Alternatively, the lack of performance persistence may arise from competitive pressures outside of their model.

中文翻译：

---

规模会在多大程度上侵蚀共同基金的业绩？回归不连续方法

资产管理中的规模不经济水平对经理技能的测试和绩效持久性的预期水平具有重要意义。为了确定基金规模对未来回报的因果影响，我们利用回报的微小差异可能导致晨星评级的离散变化，进而产生基金规模的离散差异这一事实。使用我们的回归不连续性方法，我们发现评级显着增加了基金规模，但基金规模对基金回报的影响可以忽略不计。在 Berk 和 Green (2004) 的模型中，缺乏有意义的基金层面的规模不经济意味着缺乏业绩持久性是由于缺乏基金经理的技能。或者，缺乏绩效持久性可能源于其模型之外的竞争压力。