Do Funds Make More When They Trade More? (Digest Summary):L. Pastor, R. F. Stambaugh, and L. A. Taylor, Journal of Finance, Vol. 72, No. 4 (August 2017): 1483-1528

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Jackson, Antony (2018) Do Funds Make More When They Trade More? (Digest Summary):L. Pastor, R. F. Stambaugh, and L. A. Taylor, Journal of Finance, Vol. 72, No. 4 (August 2017): 1483-1528. In: UNSPECIFIED CFA Institute.

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Abstract

Active equity mutual funds display a positive relationship between turnover and future returns in excess of their Morningstar-designated benchmarks. Turnover is highly correlated across active funds, and turnover increases during times of market mispricing as measured by investor sentiment, volatility of stock returns, and marketwide liquidity.

Item Type:	Book Section
Additional Information:	CFA Digest Summary of 'Do Funds Make More When They Trade More?'; L. Pastor, R. F. Stambaugh, and L. A. Taylor, Journal of Finance, Vol. 72, No. 4 (August 2017): 1483-1528.
Faculty \ School:	Faculty of Social Sciences > School of Economics
Related URLs:	https://www.cfapubs.org/doi/abs/10.2469/... https://www.cfainstitute.org/en/research...
Depositing User:	Pure Connector
Date Deposited:	17 May 2018 15:32
Last Modified:	30 Sep 2021 17:49
URI:	https://ueaeprints.uea.ac.uk/id/eprint/67128
DOI:	10.2469/dig.v48.n4.4

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