Do Funds Make More When They Trade More?

• 成果类型: Article
• 署名作者: Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A.
• 署名单位: University of Chicago; University of Pennsylvania; National Bureau of Economic Research; National Bank of Slovakia; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12509
• 发表日期: 2017
• 页码: 1483-1528
• 关键词: STOCK-PICKING TALENT; Equity mutual funds; EMPIRICAL DECOMPOSITION; presidential-address; individual investors; transactions costs; active management; IPO ALLOCATIONS; performance; returns

摘要

We model fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover and performance is stronger than the cross-sectional relation, as the model predicts. Also as predicted, the turnover-performance relation is stronger for funds trading less-liquid stocks and funds likely to possess greater skill. Turnover is correlated across funds. The common component of turnover is positively correlated with proxies for stock mispricing. Turnover of similar funds helps predict a fund's performance.