A Horizon-Based Decomposition of Mutual Fund Value Added Using Transactions

• 成果类型: Article
• 署名作者: van Binsbergen, Jules; Han, Jungsuk; Ruan, Hongxun; Xing, Ran
• 署名单位: University of Pennsylvania; Seoul National University (SNU); Peking University; Stockholm University; Aarhus University; Stockholm University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13331
• 发表日期: 2024
• 页码: 1831-1882
• 关键词: institutional investors; liquidity provision; investment style; stock returns; performance; MARKET; COSTS; size; INFORMATION; MANAGER

摘要

We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low-turnover funds add value only over longer horizons.