Abstract
This paper documents that small-cap mutual funds allocate on average 27% of their portfolio to mid- and large-cap stocks. We find that larger and older small-cap funds are more likely to hold mid- and large-cap stocks, consistent with funds straying from their objective over time. Funds that invest heavily in mid- and large-cap stocks expose their investors to unanticipated risks but investors do not experience higher abnormal returns or performance persistence overall. These funds did outperform their peers by 3% annually in the most recent period between January 2003 and March 2010.
Original language | English (US) |
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Pages (from-to) | 42-57 |
Number of pages | 16 |
Journal | Journal of Banking and Finance |
Volume | 78 |
DOIs | |
State | Published - May 1 2017 |
All Science Journal Classification (ASJC) codes
- Finance
- Economics and Econometrics