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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w20700 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w20700 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
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. |
条目包含的文件 | 条目无相关文件。 |
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