Abstract
AbstractThis paper examines the relationships among cash holdings, fund risk, fund turnover, and market risk for equity funds over the period 2007–2017 under the scale effect threshold. From the empirical results of the panel smooth transition regression (PSTR) model, cash holdings and scale effect in equity funds are indeed non‐linear relationship. The findings show that the relationships among cash holdings, fund risk, fund turnover, and market risk differ widely based on taking into account the scale effect.
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