Scale and Skill in Mutual Fund Management: Evidence From Norway

Abstract

A sample free of survivorship bias is used to identify effects of scale on mutual fund performance in the Norwegian market. Using several riskadjusted performance benchmarks, I find mixed evidence that both large and small funds underperform the middle sized funds in the period 2005- 2018. Controlling for relevant factors in panel data regressions find that on average, performance worsens with an increase in size while giving support to initial findings of nonlinearity. The relationship is most robust after 2013 and seems to be affected by competition in the market as well as fund inflows. No empirical evidence is found supporting the liquidity hypothesis.