Journal article
Heterogeneous turnover-performance relations
Journal of banking & finance, Vol.124, p.106054
03/2021
DOI: 10.1016/j.jbankfin.2021.106054
Abstract
We document the heterogeneous effects of turnover on mutual fund performance, which help explain the weak cross-sectional turnover-performance relations reported in existing studies. For funds skilled in exploiting short-term investment opportunities, there is a positive empirical relation between turnover and performance. For unskilled funds, the relation turns negative. As a result, performance persistence is stronger among funds with higher turnover. Further, we find that the heterogeneous effects of turnover on performance are not driven by liquidity premium or trade execution skills, but rather due to substantial dispersion in short-term stock selection information.
Details
- Title: Subtitle
- Heterogeneous turnover-performance relations
- Creators
- Ke Shen - Department of FinanceLin Tong - Fordham UniversityTong Yao - Department of Finance, Henry B. Tippie College of Business, University of Iowa, USA
- Resource Type
- Journal article
- Publication Details
- Journal of banking & finance, Vol.124, p.106054
- Publisher
- Elsevier B.V
- DOI
- 10.1016/j.jbankfin.2021.106054
- ISSN
- 0378-4266
- eISSN
- 1872-6372
- Language
- English
- Date published
- 03/2021
- Academic Unit
- Finance
- Record Identifier
- 9984380384402771
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