证券投资基金规模尾部特征的实证研究
An empirical study of the tails of mutual fund size
摘要：
共同基金业管理着美国股票市场约四分之一的资产，因此在美国经济中发挥着重要作用。关于有多少控制权集中在最大参与者手中的问题，最好根据共同基金规模分布的尾部行为进行定量讨论。我们研究的分布经验表明，尾部是更好地描述了对数正态比幂律，表明集中度低于，例如，个人收入。结果具有高度的统计学意义，并且在15年内保持一致。这与最近关于交易量分布的幂律尾部起源的理论相矛盾。基于在一个配套文件的分析，对数正态性是可以预期的，并表明，分布的共同基金仍然是永久的均衡。
英文摘要：
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.
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