Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds

• 成果类型: Article
• 署名作者: Da, Zhi; Gao, Pengjie; Jagannathan, Ravi
• 署名单位: University of Notre Dame; Northwestern University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq074
• 发表日期: 2011
• 页码: 675
• 关键词: cross-section; performance; INFORMATION; returns; RISK; INVESTMENT; FLOWS

摘要

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.