Quotation Christoffersen, Susan, Keim, Donald, Musto, David, Rzeznik, Aleksandra. 2018. Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds.


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Abstract

Fund managers can demand liquidity for their trading ideas or provide liquidity for others’ ideas. We identify the roles of these motives using a database of the individual transactions by Canadian equity funds. Both the cost and subsequent performance of their buys decline after strong inflows, indicating the depletion of ideas and substitution into liquidity provision as funds put new money to work. Sales show little of this substitution, consistent with funds’ narrower latitude to provide liquidity to buyers. In general, the option to provide liquidity makes fund performance positive in the transactions costs of buys, but not of sells.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language German
Title Passive-Aggressive Trading: The Supply and Demand of Liquidity by Mutual Funds
Year 2018

Associations

People
Rzeznik, Aleksandra (Former researcher)
External
Christoffersen, Susan (Rotman School of Management, Canada)
Keim, Donald (Wharton School of Business, United States/USA)
Musto, David (Wharton School of Business, United States/USA)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5361 Financial management (Details)
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