摘要翻译：
共同基金对美国金融体系的巨大影响是分散在许多基金中，还是只集中在几个基金中？我们认为，决定这一点的主要经济因素是市场效率，这意味着基金的业绩与规模无关，基金的增长本质上是随机的。随机过程具有进入、退出和增长的特征。对于工业组织文献中使用的标准方程，我们给出了一个新的时间相关解，并表明向稳态解的松弛是极其缓慢的。因此，即使这些过程是平稳的（它们不是），稳态解，即一个非常重尾的幂律，也是不相关的。相反，该分布被一个不太重尾的对数正态分布很好地近似。我们对基金规模增长进行了实证分析，提出了一个新的、更精确的规模相关模型，并表明该模型能够很好地预测实证观察到的规模分布。虽然共同基金在许多方面与其他公司相似，但市场效率引入的效应使其成长过程明显不同。我们的工作表明，一个基于市场效率的简单模型很好地解释了资产集中度，表明其他影响，如交易成本或投资者选择的行为方面，发挥的作用较小。
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英文标题：
《What drives mutual fund asset concentration?》
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作者：
Yonathan Schwarzkopf and J. Doyne Farmer
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
  Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which dictates that fund performance is size independent and fund growth is essentially random. The random process is characterized by entry, exit and growth. We present a new time-dependent solution for the standard equations used in the industrial organization literature and show that relaxation to the steady-state solution is extremely slow. Thus, even if these processes were stationary (which they are not), the steady-state solution, which is a very heavy-tailed power law, is not relevant. The distribution is instead well-approximated by a less heavy-tailed log-normal. We perform an empirical analysis of the growth of mutual funds, propose a new, more accurate size-dependent model, and show that it makes a good prediction of the empirically observed size distribution. While mutual funds are in many respects like other firms, market efficiency introduces effects that make their growth process distinctly different. Our work shows that a simple model based on market efficiency provides a good explanation of the concentration of assets, suggesting that other effects, such as transaction costs or the behavioral aspects of investor choice, play a smaller role.
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PDF链接：
https://arxiv.org/pdf/0807.3800