Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
نویسندگان
چکیده
We show that a mutual fund’s stock selection skill can be decomposed into additional components that include liquidity-absorbing impatient trading and liquidity provision. We find that past performance predicts future performance better among funds trading in stocks affected more by information events: Past winners earn a risk-adjusted after-fee excess return of 35 basis points per month in the future. Most of that superior performance comes from impatient trading. We also find that impatient trading is more important for growth-oriented funds, and liquidity provision is more important for younger income funds. (JEL G11, G23)
منابع مشابه
Online Appendix to Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
متن کامل
Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds Online Appendix
متن کامل
Liquidity risk and the performance of UK mutual funds ¬リニ
a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...
متن کاملUncommon Value: The Investment Performance of Contrarian Funds
This paper studies the investment behavior and performance of contrarian mutual funds, as well as the performance of stocks widely held and traded by such funds over the 1994 to 2006 period. We define a “contrarian fund” as a fund that trades in a direction opposite to mutual fund “herds” much more frequently than the average fund. We find that contrarian funds tend to persist in trading agains...
متن کاملMutual fund competition and stock market liquidity
We study how competition in the mutual fund industry affects the stock market and its liquidity. We argue that mutual fund families operate as multi-product firms, jointly choosing fees, performance and number of funds. We show that competition between fund families distorts the incentives to collect information and induces the families to trade off performance and number of funds. An increase ...
متن کامل