Why do Funds Make More When They Trade More?

IF 0.9 Q3 BUSINESS, FINANCE Quarterly Journal of Finance Pub Date : 2023-01-20 DOI:10.1142/s2010139222500148
Jaden Jonghyuk Kim, Jung Hoon Lee, Shyam Venkatesan
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Abstract

In this paper, we introduce a conditional measure of skill, the correlation between funds’ residual trades, net of common trading motives, and future news about the stocks traded. Using this measure, we show that the average mutual fund manager in the cross-section has stock-picking skill. This result is robust to different benchmarks and is mainly driven by the manager’s ability to predict a firm’s cash-flow news. This skill has short-term persistence and is distinctly related to traditional measures of performance. Importantly, consistent with Berk and Green [2004, Mutual Fund Flows and Performance in Rational Markets, Journal of Political Economy 112(6), 1269–1295] fund flows are increasing with respect to managerial skill after controlling for fund performance.

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为什么基金交易越多赚得越多?
在本文中,我们引入了一个有条件的技巧度量,基金的剩余交易、共同交易动机净和交易股票的未来消息之间的相关性。利用这一度量,我们证明了横截面上的平均共同基金经理具有选股技能。这一结果对不同的基准都是稳健的,并且主要是由管理者预测公司现金流新闻的能力所驱动的。这种技能具有短期持久性,并且与传统的绩效衡量标准明显相关。重要的是,与Berk和Green[2004,理性市场中的共同基金流动和绩效,政治经济学杂志112(6),1269-1295]一致,在控制基金绩效后,基金流动在管理技能方面增加。
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
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
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0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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