tailieunhanh - Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds

» Directors’ responsibilities are derived from their general fiduciary duties. The federal securities laws do not impose any specific obligations on fund directors with respect to oversight of risk management; in general, fund directors’ responsibilities are derived from their general fiduciary duties of care and loyalty and are part of their overall responsibility to oversee the management and operation of the fund. » A board’s focus is on the fund’s risks, which also entails understanding the adviser’s risks that may impact the fund. A board’s role is to oversee the management of the fund’s risks; it. | Impatient Trading Liquidity Provision and Stock Selection by Mutual Funds Zhi Da University of Notre Dame Pengjie Gao University of Notre Dame Ravi Jagannathan Northwestern University and NBER We show that a mutual fund s stock selection skill can be decomposed into additional components that include liquidity-absorbing impatient trading and liquidity provision. We findthatpastperfonnaneepredictsfuturepfiobrmaneebetteramonffnndstradingin stocks affected more by information events Past winners earn a risk-adjusted after-fee excess return of 35 basis points per month in the future. Most of that superior performance comes from impatient trading. We also Ondthatimpattont tradingis moreimpohans0or growth-oriented funds and liquidity provision is more important for younger income funds. JEL G11 G23 As of 2008 . domestic equity mutual fund managers collbctivbly had over trillion under their management. A sinmfiaantportianoftìdsanfnntis actively managed as indicated by a turnover rate in excess of 50 for stock From 1980 to 2006 investors paid over percent of portfolio value We thank Robert Battalio Jonathan Berk Roger Edelen Craig Holden Paul Irvine Frank de Jong Robert Kosowski Norris Lrooymooe Dong Lou Tim Lough n Dermot Murphy Rick Mendenhall David Musto Lubos Pastor Christine Parlour Paul Schultz Clemens Sialm Matthew Spiegel the editor Laura Starks Sheridan Titman Charles Trzcinka Lance Young two anonymous referees and seminar participants at Northwestern University IU ND Purdue Finance Symposium University of Illinois at Urbana-Champaign University of Michigan Barclays Global Investors Tilburg University the 4th Vienna Symposium on Asset Management Financial Research Association 2007 Annual Meeting NBER Asset Pricing Program Meeting Spring 2008 the Western Finance Association 2008 Annual Meeting American Finance Association 2009 Annual Meeting and the Oxford-Man Institute Hedge Fund Conference for comments. We thank Don Keim and Sunil Wahal for .

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