G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12513
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
URLhttps://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.
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