G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w20700
来源IDWorking Paper 20700
Do Funds Make More When They Trade More?
Lubos Pastor; Robert F. Stambaugh; Lucian A. Taylor
发表日期2014-11-24
出版年2014
语种英语
摘要We model optimal 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, such as small-cap funds. Turnover has a common component that is positively correlated with proxies for stock mispricing, consistent with funds exploiting time-varying opportunities. Turnover’s common component helps predict fund returns.
主题Financial Economics ; Financial Markets ; Financial Institutions ; Labor Economics ; Labor Supply and Demand
URLhttps://www.nber.org/papers/w20700
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/578374
推荐引用方式
GB/T 7714
Lubos Pastor,Robert F. Stambaugh,Lucian A. Taylor. Do Funds Make More When They Trade More?. 2014.
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