Journal of Banking and Finance ·Volume 88, MAR 2018

系列基金的交易效率：对基金业绩和投资行为的影响

作者：Gjergji Cici(Mason School of Business, The College of William & Mary, and Research Fellow at Centre for Financial Research (CFR)

University of Cologne) Laura K. Dahm(Department of Finance and Centre for Financial Research (CFR)

University of Cologne) Alexander Kempf(Department of Finance and Centre for Financial Research (CFR), University of Cologne)

摘要：本研究考察了系列共同基金的交易柜台的效率是如何影响投资组合的表现和附属基金的投资行为。我们通过估计在指数调整日期左右包含交易成本的系列基金中的指数基金的总收益与不包含交易成本的基础指数的回报之差来反映系列基金交易柜台的交易效率。通过运营更有效的交易柜台来帮助降低交易成本，系列基金显著提高了基金业绩，也使他们的基金交易量提升，并且持有更少的流动资产组合。

关键词：共同基金，系列基金，交易效率，基金业绩，投资行为

Trading efficiency of fund families: Impact on fund performance and investment behavior

Gjergji Cici(Mason School of Business, The College of William & Mary, and Research Fellow at Centre for Financial Research (CFR), University of Cologne) Laura K. Dahm(Department of Finance and Centre for Financial Research (CFR), University of Cologne) Alexander Kempf(Department of Finance and Centre for Financial Research (CFR), University of Cologne)

ABSTRACT

This study examines how the efficiency of trading desks operated by mutual fund families affects portfolio performance and investment behavior of affiliated funds. We estimate the trading efficiency of a fund family's trading desk as the difference between the gross return of the family's index fund, which incorporates trading costs, and the return of the underlying index, which does not incorporate trading costs, around index adjustment dates. By operating more efficient trading desks that help reduce trading costs, fund families improve the performance of their funds significantly and also enable their funds to trade more and hold less liquid portfolios.

Keywords: Mutual funds; Fund families; Trading efficiency; Fund performance; Investment behavior

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426617302741

翻译：张展