Abstract
AbstractExamining risk‐adjusted returns for executed trades over horizons of up to 1 year, we document strong evidence of short‐term trading skill using daily mutual fund transactions from Finland. We find that trading performance is highly persistent up to the 1 month horizon, with an annualized Carhart abnormal return of 5.03% observed for both buys and sells. Moreover, the returns observed for the first week account for almost 36% of a fund's 1 year trade return, underscoring the significance of short‐term trading in mutual funds. For the best‐performing funds, this short‐term performance also translates into sustained long‐term outperformance. Investigating possible sources, we find that liquidity provision, rather than price pressure, is a significant contributor. In addition, short‐term trading performance is significantly positively related to trade size, fund size, and expenses, depending on whether buys or sells are considered.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
