Trading efficiency of fund families: Impact on fund performance and investment behavior

Gjergji Cici, Laura K. Dahm and Alexander Kempf

Journal of Banking & Finance, 2018, vol. 88, issue C, 1-14

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.

Keywords: Mutual funds; Fund families; Trading efficiency; Fund performance; Investment behavior (search for similar items in EconPapers)
JEL-codes: D23 G23 G24 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426617302741
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:88:y:2018:i:c:p:1-14

DOI: 10.1016/j.jbankfin.2017.11.004

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().