Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds PDF
By:Zhi Da,Pengjie Gao,Ravi Jagannathan
Published on 2007 by
We show that a mutual fund's |stock selection skill| computed using the Daniel, Grinblatt, Titman and Wermers (1997) procedure can be decomposed into additional components that include impatient |informed trading| and |liquidity provision,| thereby helping us understand how a fund creates value. We validate our method by verifying that liquidity provision is the dominant component of selection skill for Dimensional Fund Advisors U.S. Micro Cap fund, as observed by Keim (1999). Index funds lose on liquidity absorbing trades, since they pay the price impact on trades triggered by index rebalancing, inflows and redemptions. Consistent with the view that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information events, we find that funds trading such stocks exhibit superior performance that is more likely to persist. Further, such superior performance comes mostly from impatient informed trading. We also find that informed trading is more important for growth-oriented funds while liquidity provision is more important for younger funds with income orientation.
This Book was ranked at 25 by Google Books for keyword Stocks.
Book ID of Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds's Books is Wh3wAAAAMAAJ, Book which was written byZhi Da,Pengjie Gao,Ravi Jagannathanhave ETAG "vgF0PdIhw4A"
Book which was published by since 2007 have ISBNs, ISBN 13 Code is and ISBN 10 Code is
Reading Mode in Text Status is false and Reading Mode in Image Status is false
Book which have "48 Pages" is Printed at BOOK under CategoryInformation theory in economics
Book was written in en
eBook Version Availability Status at PDF is falseand in ePub is false
Book Preview
Download Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds PDF Free
Download Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds Books Free
Download Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds Free
Download Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds PDF
Download Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds Books
No comments:
Post a Comment