Publication Type
Working Paper
Version
publishedVersion
Publication Date
12-2020
Abstract
High trading regularity funds outperform low trading regularity funds more during periods of low market returns and greater market and economic uncertainty. Their trading also has strong return predictability on stock returns during periods of greater uncertainty. They trade more around news events, and their news related trading predicts stock return stronger during periods of greater uncertainty. They also profit from liquidity provision in highly uncertain market environment. Overall our evidence suggests that high trading regularity funds trade more frequently during periods of high uncertainty when information production and processing skill is more valuable and when the demand for liquidity is high.
Keywords
Trading Regularity, institutional investors, market uncertainty
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
First Page
1
Last Page
53
Citation
TONG, Lin and ZHANG, Zhe.
Trading regularity and fund performance: Evidence in uncertain markets. (2020). 1-53.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6802
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.