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