Trading Regularity and Fund Performance

Review of Financial Studies, Forthcoming

88 Pages Posted: 7 Sep 2016 Last revised: 18 Apr 2018

See all articles by Jeffrey A. Busse

Jeffrey A. Busse

Emory University - Department of Finance

Lin Tong

Fordham University - Finance Area

Qing Tong

School of Business, Renmin University of China

Zhe Zhang

Singapore Management University

Date Written: April 7, 2018

Abstract

We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that trade regularly outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who trade most regularly, larger funds perform relatively worse as they incur higher transaction costs associated with their larger trades. Institutions that regularly trade generate superior performance in part by behaving as contrarians and by trading more aggressively on information. By contrast, we find no relation between trading regularity and performance among index funds.

Keywords: Trade Regularity, Fund Performance

JEL Classification: G1

Suggested Citation

Busse, Jeffrey A. and Tong, Lin and Tong, Qing and Zhang, Zhe, Trading Regularity and Fund Performance (April 7, 2018). Review of Financial Studies, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2834591 or http://dx.doi.org/10.2139/ssrn.2834591

Jeffrey A. Busse

Emory University - Department of Finance ( email )

Atlanta, GA 30322-2710
United States
404-727-0160 (Phone)
404-727-5238 (Fax)

Lin Tong (Contact Author)

Fordham University - Finance Area ( email )

33 West 60th Street
New York, NY 10023
United States

Qing Tong

School of Business, Renmin University of China ( email )

Beijing
China

Zhe Zhang

Singapore Management University ( email )

Lee Kong Chian School of Business
50 Stamford Road
Singapore, 178899
Singapore

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