Journal article
Mutual fund trades: Asymmetric liquidity preferences and fund performance
Journal of Financial Research, Vol.30(4), pp.515-532
12/2007
Abstract
We investigate the role of the liquidity of stocks traded by mutual funds on the performance of funds experiencing substantial and sustained redemptions (outflows) or inflows. Accordingly, we identify 770 redeeming fund-periods and 1,757 inflow fund-periods and find a statistically significant relation between the liquidity of the stocks they trade and the quantity of the stock traded. Notably, when funds experience redemptions, those with low portfolio liquidity have an elevated preference for selling more-liquid stocks. In the following period, such funds statistically and economically underperform funds that sell less-liquid stocks. This is consistent with redemptions detrimentally affecting shareholders that remain in a fund.
Details
- Title
- Mutual fund trades: Asymmetric liquidity preferences and fund performance
- Authors/Creators
- A. Clarke (Author/Creator) - Australian National UniversityG. Cullen (Author/Creator)D. Gasbarro (Author/Creator) - Murdoch University
- Publication Details
- Journal of Financial Research, Vol.30(4), pp.515-532
- Publisher
- Blackwell Publishing
- Identifiers
- 991005543213907891
- Copyright
- © 2007 The Southern Finance Association and the Southwestern Finance Association.
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Journal article
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