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A Horizon-Based Decomposition of Mutual Fund Value Added Using Transactions
We decompose mutual fund value added by the length of funds' holdings using transaction-level data. We motivate our decomposition with a model featuring horizon-specific investment ideas, where short-term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high-turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low-turnover funds add value only over longer horizons.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Association 2024 |
|---|---|
| Edisi | Volume 79, Issue 3, June 2024, Pages 1831-1882 |
| Subjek | Investments Mutual funds Value added Decomposition |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | ill, chart, table, grafik, 678 hal, 20 cm |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |