The marginal effect of closing to new investors on performance persistence.

The table contains the output of pooled ordinary least squares (OLS) regressions with monthly observations. The dependent variable is fund performance. Return is the excess return after fund fees, Alpha-4 refers to the Carhart [11] four-factor model alpha, Alpha-5 refers to the Fama and French [20] five-factor model alpha, and Alpha-Q refers to the Hou et al. [22] q-factor model alpha. Fund alphas are estimated using the Carhart [11] methodology with the funds’ factors loading for each month estimated over trailing 12-month windows. The mean performance measures of each fund category in each month are subtracted from the measures of the corresponding funds. The demeaned measures represent abnormal percentage returns per month. Closed_dummy is a variable equal to one if the fund is closed to new investors and equal to zero otherwise. The past performance variables Lag_return, Lag_alpha_4, Lag_alpha_5 and Lag_alpha_Q are one-month-lagged fund category demeaned 12-month geometric average returns (alphas). The interaction variables Lag_return_closed, Lag_alpha_4_closed, Lag_alpha_5_closed and Lag_alpha_Q_closed are equal to the product of Closed_dummy and the respective past performance variable. All other independent variables are lagged by one month, except for the variables Expense_ratio and Turnover, which are lagged by one year. The Av_ownership variable is calculated as in [23] and represents the average ownership share (%) of a fund in the stocks of its investment portfolio. The Fractional_flow_q variable is the Sirri and Tufano [15] fractional flow (%) measure computed at the quarterly level. The p-values are reported in parentheses. *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively.