Publication Type
Journal Article
Version
submittedVersion
Publication Date
1-2019
Abstract
We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that regularly trade outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who trade most regularly, larger funds perform relatively worse, because they incur higher transaction costs associated with their larger trades. Institutions that regularly trade generate superior performance, in part, by behaving as contrarians and by trading more aggressively on information. By contrast, we find no relation between trading regularity and performance among index funds.
Keywords
Trade Frequency, Fund Performance
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Review of Financial Studies
Volume
32
Issue
1
First Page
374
Last Page
422
ISSN
0893-9454
Identifier
10.1093/rfs/hhy059
Publisher
Oxford University Press
Citation
BUSSE, Jeffrey; TONG, Lin; TONG, Qing; and ZHANG, Zhe.
Trading regularity and fund performance. (2019). Review of Financial Studies. 32, (1), 374-422.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5339
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/rfs/hhy059