Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds*

被引：3
|
作者：
Christoffersen, Susan K. [1 ,2 ]
Keim, Donald B. [3 ]
Musto, David K. [3 ]
Rzeznik, Aleksandra [4 ]
机构：
[1] Univ Toronto, Rotman Sch Management, Toronto, ON, Canada
[2] Copenhagen Business Sch, Frederiksberg, Denmark
[3] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA
[4] York Univ, Schulich Sch Business, N York, ON, Canada
来源：
REVIEW OF FINANCE | 2022年 / 26卷 / 05期
关键词：
Fund flows; Trading costs; Information; Liquidity; TRANSACTIONS COSTS; CROSS-SECTION; OPEN-END; PERFORMANCE; PROVISION; BEHAVIOR; PRICES; CHOICE; STYLE;
D O I：
10.1093/rof/rfac008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Active mutual funds supply liquidity when demanding it becomes uneconomical. They tilt toward cheaper buy trades after inflows deplete their trading ideas, when trading ideas in general run low, and when they have more stocks to supply liquidity to, and their cheaper trades perform worse. Their largest trades are more likely to supply liquidity, explaining why they were not broken up. Funds perform better when they pay more for their buys and perform worse when they pay more for their sells, consistent with the implied value of the trades and the correlation between what a fund trades and what it holds.
引用
收藏
页码：1145 / 1177
页数：33
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