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Scale Economies, Managerial Learning, and Performance in an Emerging Mutual Fund Market: Panel Evidence from Morocco

Domain:

socioeconomic

Record type:

datasetsoftware
Creator:
Bou
Publisher:
Zenodo
Host:avatar

This repository contains the replication data and Stata code for the paper "Scale Economies, Managerial Learning, and Performance in an Emerging Mutual Fund Market: Panel Evidence from Morocco". The dataset includes monthly observations of 504 Moroccan mutual funds (OPCVMs) from December 2012 to December 2024, totaling 63,251 fund-month observations. Variables include fund returns, total net assets (TNA), fund age, fund flows, flow volatility, and risk-adjusted performance measures (Carhart 4-factor alpha, Fama-French 3-factor alpha, Jensen's alpha, and Sharpe ratio). The Stata script reproduces all empirical results in the paper, including: - Panel diagnostic tests (Pesaran CD test, CIPS unit root tests, Wooldridge AR(1) test, modified Wald heteroskedasticity test) - Main panel regressions with Driscoll-Kraay standard errors - Mundlak-Chamberlain correlated random effects estimation - Simultaneous quantile regressions with 200 bootstrap replications - Inter-quantile equality F-tests - First-differenced robustness specifications All results tables (Tables 2 through 5 and Appendix Tables A1-A2) can be reproduced by running the provided do-file.

Visit

doi.org

Licenses

info:eu-repo/semantics/openAccessCreative Commons Attribution 4.0 Internationalhttps://creativecommons.org/licenses/by/4.0/legalcode

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