Liquidity Risk and Mutual Fund Performance
Liquidity Risk and Mutual Fund Performance
复制标题
流动性风险和共同基金表现
DOI：
--
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
Ronnie Sadka
中科院分区：
文献类型：
--
作者：
Xi Dong;Shuang Feng;Ronnie Sadka
本文证明基金经理创造价值的能力取决于市场流动性条件，这反过来又为熟练的基金经理引入了流动性风险敞口（beta）。我们记录了1983年至2014年期间共同基金横截面的年流动性贝塔绩效价差为4%。流动性风险溢价解释了这一价差中微不足道的一部分；相反，这种价差可以归因于高流动性beta基金在高和低市场流动性状态下表现优异的不同能力，这是由于定价错误修正的不同比率或知情交易的强度不同。基于错误定价的测试（由68种异常情况的综合集代表），以及来自大型专有机构交易数据集的逐点交易，证实了这些渠道的贡献。结果突出了知情投资者、错误定价和流动性贝塔之间的相互作用。互联网附录可在https://doi.org/10.1287/mnsc.2017.2851. ...获得
This paper demonstrates that the ability of fund managers to create value depends on market liquidity conditions, which in turn introduces a liquidity risk exposure (beta) for skilled managers. We document an annual liquidity beta performance spread of 4% in the cross section of mutual funds over the period 1983–2014. Liquidity risk premia explain an insubstantial fraction of this spread; instead, the spread can be attributed to the differential ability of high liquidity beta funds to outperform across high and low market liquidity states, due to a differential rate of either mispricing correction or intensity of informed trading. Tests based on mispricing, proxied by a comprehensive set of 68 anomalies, and tick-by-tick trades, from a large proprietary institutional trading data set, corroborate the contribution of these channels. The results highlight the interaction between informed investors, mispricing, and liquidity beta. The Internet appendix is available at https://doi.org/10.1287/mnsc.2017.2851. ...