Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
نویسندگان
چکیده
منابع مشابه
Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
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...
متن کاملOnline 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
Mutual 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 ...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2010
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhq074