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Empirical study of the tails of mutual fund size

Schwarzkopf, Yonathan and Farmer, J. Doyne (2010) Empirical study of the tails of mutual fund size. Physical Review E, 81 (6). Art. No. 066113 . ISSN 1539-3755. http://resolver.caltech.edu/CaltechAUTHORS:20100709-112742822

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Abstract

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.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://dx.doi.org/10.1103/PhysRevE.81.066113 DOIUNSPECIFIED
http://pre.aps.org/abstract/PRE/v81/i6/e066113PublisherUNSPECIFIED
Additional Information:© 2010 The American Physical. Received 19 April 2010; published 18 June 2010. We would like to thank A. Clauset and C. R. Shalizi for useful comments. Y.S. would like to thank Mark B. Wise. We gratefully acknowledge financial support from NSF under Grant No. HSD-0624351. Any opinions, findings and conclusions or recommendations expressed in this material are those of the authors and do not necessarily reflect the views of the National Science Foundation.
Funders:
Funding AgencyGrant Number
NSFHSD-0624351
Classification Code:PACS: 89.65.Gh, 89.75.Da, 02.60.Ed
Record Number:CaltechAUTHORS:20100709-112742822
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20100709-112742822
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:18967
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:09 Jul 2010 20:33
Last Modified:26 Dec 2012 12:12

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