| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10261 |
| DP10261 Do Funds Make More When They Trade More? | |
| Robert F. Stambaugh; Luboš Pástor; Lucian Taylor | |
| 发表日期 | 2014-11-23 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We find that active mutual funds perform better after trading more. This time-series relation between a fund?s turnover and its subsequent benchmarkadjusted return is especially strong for small, high-fee funds. These results are consistent with high-fee funds having greater skill to identify time-varying profit opportunities and with small funds being more able to exploit those opportunities. In addition to this novel evidence of managerial skill and fund-level decreasing returns to scale, we find evidence of industry-level decreasing returns: The positive turnover-performance relation weakens when funds act more in concert. We also identify a common component of fund trading that is correlated with mispricing proxies and helps predict fund returns. |
| 主题 | Financial Economics |
| 关键词 | Turnover Skill Performance Active management Mutual funds |
| URL | https://cepr.org/publications/dp10261 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539094 |
| 推荐引用方式 GB/T 7714 | Robert F. Stambaugh,Luboš Pástor,Lucian Taylor. DP10261 Do Funds Make More When They Trade More?. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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