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Empirical study of the tails of mutual fund size.

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, ...

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Publication status:
Published

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Publisher copy:
10.1103/physreve.81.066113

Authors


Schwarzkopf, Y More by this author
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Journal:
Physical review. E, Statistical, nonlinear, and soft matter physics
Volume:
81
Issue:
6 Pt 2
Pages:
066113
Publication date:
2010-06-05
DOI:
EISSN:
1550-2376
ISSN:
1539-3755
URN:
uuid:ed0a94cb-c2d3-461a-9710-7a92dda00d12
Source identifiers:
388913
Local pid:
pubs:388913
Language:
English

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