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Journal Article
Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
Review of Financial Studies
Author(s)
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.
Date Published:
2008
Citations:
Da, Zhi, Paul Gao, Ravi Jagannathan. 2008. Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds. Review of Financial Studies. (3)