Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7356607 | Journal of Banking & Finance | 2018 | 14 Pages |
Abstract
This study examines how the efficiency of trading desks operated by mutual fund families affects portfolio performance and investment behavior of affiliated funds. We estimate the trading efficiency of a fund family's trading desk as the difference between the gross return of the family's index fund, which incorporates trading costs, and the return of the underlying index, which does not incorporate trading costs, around index adjustment dates. By operating more efficient trading desks that help reduce trading costs, fund families improve the performance of their funds significantly and also enable their funds to trade more and hold less liquid portfolios.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Gjergji Cici, Laura K. Dahm, Alexander Kempf,