Predictable investment horizons and wealth transfers among mutual fund shareholders\

• 成果类型: Article
• 署名作者: Johnson, WT
• 署名单位: University of Oregon
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00689.x
• 发表日期: 2004
• 页码: 1979-2012
• 关键词: investors; liquidity; FLOWS; ability; MARKETS; banks; debt

摘要

This study analyzes the distribution of investment horizons in a large, proprietary panel of all shareholders in one no-load mutual fund family. A proportional hazards model shows that there are observable shareholder characteristics that enable the fund to predict reliably on the day each account is opened whether the account will be short term or long term. Simulations show that the liquidity costs imposed on the fund by the expected short-term shareholders are significantly greater than those imposed by the expected long-term shareholders. Combining these results, the analysis argues that mutual funds do not provide equitable liquidity-risk insurance.