Liquidity risk and the performance of UK mutual funds

被引：9

作者：

Foran, Jason ^{[1
]}

O'Sullivan, Niall ^{[1
,2
]}

机构：

[1] Natl Univ Ireland Univ Coll Cork, Ctr Investment Res, Cork, Ireland

[2] Natl Univ Ireland Univ Coll Cork, Sch Econ, Cork, Ireland

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2014年 / 35卷

关键词：

Mutual fund performance; Liquidity risk; Liquidity characteristics; ASSET; PERSISTENCE; COMMONALITY; ANOMALIES;

D O I：

10.1016/j.irfa.2014.09.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic is positively priced in the cross-section of fund performance. We find that systematic liquidity risk is positively priced in the cross-section of fund performance although controlling for momentum effects weakens the robustness of this finding somewhat. Overall, our results reveal a strong role for stock liquidity level and systematic liquidity risk in fund performance evaluation models. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：178 / 189

页数：12

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