Universität zu Köln

Cici, Gjergji, Dahm, Laura K. and Kempf, Alexander (2018). Trading efficiency of fund families: Impact on fund performance and investment behavior. J. Bank Financ., 88. S. 1 - 15. AMSTERDAM: ELSEVIER SCIENCE BV. ISSN 1872-6372

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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. (C) 2017 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Cici, Gjergji UNSPECIFIED UNSPECIFIED UNSPECIFIED Dahm, Laura K. UNSPECIFIED UNSPECIFIED UNSPECIFIED Kempf, Alexander UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-194971
DOI:	10.1016/j.jbankfin.2017.11.004
Journal or Publication Title:	J. Bank Financ.
Volume:	88
Page Range:	S. 1 - 15
Date:	2018
Publisher:	ELSEVIER SCIENCE BV
Place of Publication:	AMSTERDAM
ISSN:	1872-6372
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language EXPECTED STOCK RETURNS; MUTUAL FUNDS; CROSS-SECTION; LIQUIDITY; COSTS; PERSISTENCE; ILLIQUIDITY; FLOWS; SIZE; RISK Multiple languages Business, Finance; Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/19497