流动性供应与交易技巧：来自共同基金日常交易的证据

IF 1.2 Q3 BUSINESS, FINANCE

Review of Financial Economics Pub Date : 2024-04-26 DOI:10.1002/rfe.1196

René Weh, Peter Joakim Westerholm, Marco Wilkens, Juan Yao

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引用次数: 0

摘要

我们利用芬兰的每日共同基金交易，考察了已执行交易在长达 1 年的时间跨度内的风险调整回报率，并记录了短期交易技巧的有力证据。我们发现，交易表现在 1 个月期限内具有高度持续性，买入和卖出的年化 Carhart 异常回报率均为 5.03%。此外，观察到的第一周收益几乎占基金 1 年交易收益的 36%，这凸显了共同基金短期交易的重要性。对于表现最好的基金来说，这种短期表现也会转化为持续的长期超额收益。在对可能的来源进行调查后，我们发现流动性提供而非价格压力是重要原因。此外，短期交易业绩与交易规模、基金规模和费用呈显著正相关，具体取决于考虑的是买入还是卖出。

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Liquidity provision and trading skill: Evidence from mutual funds' daily transactions

Examining risk‐adjusted returns for executed trades over horizons of up to 1 year, we document strong evidence of short‐term trading skill using daily mutual fund transactions from Finland. We find that trading performance is highly persistent up to the 1 month horizon, with an annualized Carhart abnormal return of 5.03% observed for both buys and sells. Moreover, the returns observed for the first week account for almost 36% of a fund's 1 year trade return, underscoring the significance of short‐term trading in mutual funds. For the best‐performing funds, this short‐term performance also translates into sustained long‐term outperformance. Investigating possible sources, we find that liquidity provision, rather than price pressure, is a significant contributor. In addition, short‐term trading performance is significantly positively related to trade size, fund size, and expenses, depending on whether buys or sells are considered.

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来源期刊

Review of Financial Economics BUSINESS, FINANCE-

CiteScore

2.80

自引率

0.00%

发文量

期刊介绍： The scope of the Review of Financial Economics (RFE) is broad. The RFE publishes original research in finance (e.g. corporate finance, investments, financial institutions and international finance) and economics (e.g. monetary theory, fiscal policy, and international economics). It specifically encourages submissions that apply economic principles to financial decision making. For example, while RFE will publish papers which study the behavior of security prices and those which provide analyses of monetary and fiscal policies, it will offer a special forum for articles which examine the impact of macroeconomic factors on the behavior of security prices.