Journal of Finance, Volume 72, Issue 4, August 2017,Pages 1483-1528

基金真的交易越多赚的越多么？

作者：?ubos Pastor (University of Chicago), Robert F. Stambaugh (University of Pennsylvania), Lucian A. Taylor (University of Pennsylvania)

摘要：我们在有随时间变化而存在获利机会的情况下模拟资金交易状况。我们的模型预测，基金的交易量同它随后的基准调整回报率之间存在正相关关系。在股票型共同基金中这种关系同样存在。正如模型所预测的那样，交易量同绩效之间的正相关关系在时间序列下的表现要强于横截面下的表现。也正如预期，对于持有流动性较差股票的基金而言，交易量和绩效之间的正相关关系要强于那些存在较高择股技术的基金。交易量同基金息息相关。交易量同股票错误定价的代理变量之间存在正相关关系。因此对于类似的基金来说，交易量有助于预测其未来表现。

Do Funds Make More When They Trade More?

?ubos Pastor (University of Chicago), Robert F. Stambaugh (University of Pennsylvania), Lucian A. Taylor (University of Pennsylvania)

ABSTRACT

We model fund turnover in the presence of time-varying profit opportunities. Our model predicts a positive relation between an active fund's turnover and its subsequent benchmark-adjusted return. We find such a relation for equity mutual funds. This time-series relation between turnover and performance is stronger than the cross-sectional relation, as the model predicts. Also as predicted, the turnover-performance relation is stronger for funds trading less-liquid stocks and funds likely to possess greater skill. Turnover is correlated across funds. The common component of turnover is positively correlated with proxies for stock mispricing. Turnover of similar funds helps predict a fund's performance.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12509/full

翻译：秦秀婷