| 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。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
