| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12513 |
| DP12513 Fund Tradeoffs | |
| Luboš Pástor; Robert F. Stambaugh; Lucian Taylor | |
| 发表日期 | 2017-12-16 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We derive equilibrium relations among active mutual funds' key characteristics: fund size, expense ratio, turnover, and portfolio liquidity. Portfolio liquidity, a concept introduced here, depends not only on the liquidity of the portfolio's holdings but also on the portfolio's diversification. As our model predicts, funds with smaller size, higher expense ratios, and lower turnover hold less-liquid portfolios. Additional model predictions are also supported empirically: Larger funds are cheaper. Larger and cheaper funds trade less and are less active, based on our novel measure of activeness. Better-diversified funds hold less-liquid stocks; they are also larger, cheaper, and trade more. |
| 主题 | Financial Economics |
| 关键词 | Portfolio liquidity Diversification Mutual funds |
| URL | https://cepr.org/publications/dp12513-1 |
| 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/541324 |
| 推荐引用方式 GB/T 7714 | Luboš Pástor,Robert F. Stambaugh,Lucian Taylor. DP12513 Fund Tradeoffs. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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