Why do Funds Make More When They Trade More?

被引：0
|
作者：
Kim, Jaden Jonghyuk [1 ]
Lee, Jung Hoon [2 ]
Venkatesan, Shyam [3 ]
机构：
[1] Int Monetary Fund, 700 19th St NW, Washington, DC 20431 USA
[2] Vanderbilt Univ, Owen Grad Sch Management, 401 21st Ave S, Nashville, TN 37203 USA
[3] Univ Western Ontario, Ivey Business Sch, 1255 Western Rd, London, ON N6G 0N1, Canada
来源：
QUARTERLY JOURNAL OF FINANCE | 2023年
关键词：
Mutual fund; performance; skill; MUTUAL FUNDS; CROSS-SECTION; PORTFOLIO MANAGEMENT; PICK STOCKS; PERFORMANCE; INVESTORS; FLOWS; MONEY; RISK; PERSISTENCE;
D O I：
10.1142/S2010139222500148
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we introduce a conditional measure of skill, the correlation between funds' residual trades, net of common trading motives, and future news about the stocks traded. Using this measure, we show that the average mutual fund manager in the cross-section has stock-picking skill. This result is robust to different benchmarks and is mainly driven by the manager's ability to predict a firm's cash-flow news. This skill has short-term persistence and is distinctly related to traditional measures of performance. Importantly, consistent with Berk and Green [2004, Mutual Fund Flows and Performance in Rational Markets, Journal of Political Economy 112(6), 1269-1295], fund flows are increasing with respect to managerial skill after controlling for fund performance.
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页数：52
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