A Horizon-Based Decomposition of Mutual Fund Value Added Using Transactions

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-04-04 DOI:10.1111/jofi.13331

JULES VAN BINSBERGEN, JUNGSUK HAN, HONGXUN RUAN, RAN XING

引用次数: 0

Abstract

We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low-turnover funds add value only over longer horizons.

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利用交易对共同基金增值进行基于视野的分解

我们利用交易层面的数据，按基金持股时间的长短对共同基金的增值进行分解。我们的分解模型以特定期限的投资理念为特征，其中短期理念的可扩展性较低，因为相关交易无法在时间上分散。基金周转率与增值期限呈负相关，与价格影响成本呈正相关。正如预测的那样，持有高换手率基金在头两周会带来大量增值，其中 80% 以上是在联邦公开市场委员会（FOMC）和财报公布日赚取的。持有低换手率基金只在较长期限内增值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

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