000			02798cam a22003737 4500
001			w14609
003			NBER
005			20211020111615.0
006			m o d
007			cr cnu||||||||
008			210910s2008 mau fo 000 0 eng d
100	1		_aDa, Zhi. _929901
245	1	0	_aInformed Trading, Liquidity Provision, and Stock Selection by Mutual Funds / _cZhi Da, Pengjie Gao, Ravi Jagannathan.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2008.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w14609
500			_aDecember 2008.
520	3		_aWe show that a mutual fund's "stock selection skill" computed using the Daniel, Grinblatt, Titman and Wermers (1997) procedure can be decomposed into additional components that include impatient "informed trading" and "liquidity provision," thereby helping us understand how a fund creates value. We validate our method by verifying that liquidity provision is the dominant component of selection skill for Dimensional Fund Advisors U.S. Micro Cap fund, as observed by Keim (1999). Index funds lose on liquidity absorbing trades, since they pay the price impact on trades triggered by index rebalancing, inflows and redemptions. Consistent with the view that a mutual fund manager with superior stock selection ability is more likely to benefit from trading in stocks affected by information events, we find that funds trading such stocks exhibit superior performance that is more likely to persist. Further, such superior performance comes mostly from impatient informed trading. We also find that informed trading is more important for growth-oriented funds while liquidity provision is more important for younger funds with income orientation.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aG00 - General _2Journal of Economic Literature class.
690		7	_aG11 - Portfolio Choice • Investment Decisions _2Journal of Economic Literature class.
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
690		7	_aG2 - Financial Institutions and Services _2Journal of Economic Literature class.
700	1		_aGao, Pengjie.
700	1		_aJagannathan, Ravi. _913498
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w14609.
856	4	0	_uhttps://www.nber.org/papers/w14609
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w14609
942			_2ddc _cW-PAPER
999			_c333513 _d292075