The marginal effect of closing to new investors on risk-adjusted performance.

The table contains the output of pooled ordinary least squares (OLS) regressions with monthly observations. Only funds that close to new investors are included in the estimations. 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. 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 observations in Panel A represent the entire within sample period histories of funds that close to new investors up to the points at which they reopen. The observations in Panel B are further restricted to be within 24 months of the closing events. I additionally restrict the sample in Panel C to funds that have return data for each of the 12 months immediately before and after their closings (similar to [9]). Thus, the funds that are most likely to have closed to new investors in anticipation of a liquation or merger are excluded from the sample. The p-values are reported in parentheses. *, **, and *** indicate significance at the 10%, 5%, and 1% levels, respectively.