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Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds, Review of Financial Studies

Abstract

components that include liquidity-absorbing impatient trading and liquidity provision. We find that past performance predicts future performance better among funds trading in 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 find that impatient trading is more important for growth-oriented funds, and liquidity provision is more important for younger income funds.

Type

Article

Author(s)

Zhi Da, Paul Gao, Ravi Jagannathan

Date Published

2008

Citations

Da, Zhi, Paul Gao, and Ravi Jagannathan. 2008. Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds. Review of Financial Studies. 24(3)

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