Liquidity picking and fund performance

• 成果类型: Article
• 署名作者: Jiao, Feng; Sarkissian, Sergei; Schumacher, David
• 署名单位: University of Lethbridge; McGill University; University of Edinburgh
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.104085
• 发表日期: 2025
• 关键词: cross-listings; Informed trading; Investment skill; Liquidity management

摘要

Using global mutual fund and American Depositary Receipt (ADR) data, we test if funds strategically trade crosslisted firms' equity shares in the most liquid trading location. We find that especially funds that score high on traditional skill measures exhibit a liquidity-based trading venue preference. We identify an informed trading motive as the most likely driver for such behaviour rather than preference based on geographic, economic, cultural, or governance motives. Thus, liquidity picking is associated with fund outperformance and stock selection ability that is not limited to only cross-listed firms. Our tests directly support theories of informed trading in a multi-market setting.