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An Analysis of Mutual Fund Trading Costs
16 references·6 citing·34 second hopsampled
An Analysis of Mutual Fund Trading Costs (2000)An Analysis of Mutual Fund Trading CostsMutual Fund Herding and the Impact on Stock Prices (1999)Mutual Fund Herding and the I…Investor flows and the assessed performance of open-end mutual funds (1999)Investor flows and the assess…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Transactions costs and invest…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…The distorting effect of the prudent-man laws on institutional equity investments (1996)The distorting effect of the …Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings (1996)Preferences for Stock Charact…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)Returns from Investing in Equ…Institutional trades and intraday stock price behavior (1993)Institutional trades and intr…Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios (1993)Efficiency with Costly Inform…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Trading efficiency of fund families: Impact on fund performance and investment behavior (2017)Trading efficiency of fund fa…Commonalities in investment strategy and the determinants of performance in mutual fund mergers (2012)Commonalities in investment s…Illiquidity, position limits, and optimal investment for mutual funds (2011)Illiquidity, position limits,…Normative Transparency of Mutual Fund Disclosure (2009)Normative Transparency of Mut…Normative Transparency of Mutual Fund Disclosure and the Case of the Expense Ratio (2007)Normative Transparency of Mut…U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used? (2002)U.K. Unit Trust Performance: …The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Flows and Performance in Rational Markets (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Limited-dependent and qualitative variables in econometrics (1983)A Simple Model of Herd Behavior (1992)Idiosyncratic Risk Matters! (2003)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed? (2007)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Herd Behavior and Investment (1988)Institutional Investors and Equity Prices (2001)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Multifactor Explanations of Asset Pricing Anomalies (1996)A five-factor asset pricing model (2014)Herding and Feedback Trading by Institutional and Individual Investors (1999)Asset Fire Sales (and Purchases) in Equity Markets (2005)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 1995Returns from Investing in Equity Mutual Funds 1971 to 19911,745 cited
  • 1999Mutual Fund Herding and the Impact on Stock Prices1,730 cited
  • 1996Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings1,057 cited
  • 1993Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios870 cited
  • 1996The distorting effect of the prudent-man laws on institutional equity investments813 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1999Investor flows and the assessed performance of open-end mutual funds731 cited
  • 1993Institutional trades and intraday stock price behavior626 cited

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  • 1997Transactions costs and investment style: an inter-exchange analysis of institutional equity trades596 cited
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    • 2017Trading efficiency of fund families: Impact on fund performance and investment behavior45 cited
    • 2011Illiquidity, position limits, and optimal investment for mutual funds39 cited
    • 2012Commonalities in investment strategy and the determinants of performance in mutual fund mergers27 cited
    • 2002U.K. Unit Trust Performance: Does it Matter Which Benchmark or Measure is Used?23 cited
    • 2007Normative Transparency of Mutual Fund Disclosure and the Case of the Expense Ratio22 cited
    • 2009Normative Transparency of Mutual Fund Disclosure10 cited