Abstract

http://ssrn.com/abstract=218108
 
 

References (30)



 
 

Citations (7)



 
 

Footnotes (14)



 


 



Transaction-cost Expenditures and the Relative Performance of Mutual Funds


John Chalmers


University of Oregon

Roger M. Edelen


University of California, Davis - Graduate School of Management

Gregory B. Kadlec


Virginia Polytechnic Institute & State University - Pamplin College of Business

November 1999

WFIC Working Paper No. 00-02

Abstract:     
We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average 0.78% of fund assets per year and have an inter-quartile range of 0.59%. Trading costs, like expense ratios, are negatively related to fund returns and we find no evidence that on average trading costs are recovered in higher gross fund returns. We find that our direct estimates of trading costs have more explanatory power for fund returns than turnover. Finally, trading costs are associated with investment objectives. However, variation in trading costs within investment objectives is greater than the variation across objectives.

Number of Pages in PDF File: 46

JEL Classification: G12

working papers series





Download This Paper

Date posted: March 19, 2000  

Suggested Citation

Chalmers, John and Edelen, Roger M. and Kadlec, Gregory B., Transaction-cost Expenditures and the Relative Performance of Mutual Funds (November 1999). WFIC Working Paper No. 00-02. Available at SSRN: http://ssrn.com/abstract=218108 or http://dx.doi.org/10.2139/ssrn.218108

Contact Information

John Chalmers
University of Oregon ( email )
Lundquist College of Business
1208 University of Oregon
Eugene, OR 97403
United States
541-346-3337 (Phone)
Roger M. Edelen (Contact Author)
University of California, Davis - Graduate School of Management ( email )
One Shields Avenue
Davis, CA 95616
United States
Gregory B. Kadlec
Virginia Polytechnic Institute & State University - Pamplin College of Business ( email )
1016 Pamplin Hall
Blacksburg, VA 24061
United States
540-231-4316 (Phone)
Feedback to SSRN


Paper statistics
Abstract Views: 2,893
Downloads: 711
Download Rank: 18,964
References:  30
Citations:  7
Footnotes:  14

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.281 seconds