Does the Frequency of Trade Affect the Fund Performance?

64 Pages Posted: 17 Dec 2019

Date Written: November 29, 2019

Abstract

This Research examines the frequency of trade affects the fund performance and design the fund turnover in the existence of time-varying profit possibilities. Our design predicts positive regard between an active fund’s returns and its major standard modified return. We also find such some relative regards for value common resources. This time-series regards revenues as well as is more powerful than the cross-sectional regards, as the design forecasts.

Also, as expected, the turnover-performance regards are more powerful for stocks trading less-liquid shares and assets likely to acquire greater expertise. Turnover is associated across mutual stocks. The common part of returns is favorably associated with proxy servers for stock mispricing. Turnover of similar resources helps estimate a fund’s efficiency and performance.

Keywords: fund turnover, efficiency, intraday data, performance

JEL Classification: G1, G11

Suggested Citation

Sultana, Ulfat, Does the Frequency of Trade Affect the Fund Performance? (November 29, 2019). Available at SSRN: https://ssrn.com/abstract=3495442 or http://dx.doi.org/10.2139/ssrn.3495442

Ulfat Sultana (Contact Author)

THE UNIVERSITY OF LAHORE ( email )

JAPAN ROAD ISLAMABAD CAMPUS ISLAMABAD
ISLAMABAD, PA FEDERAL 45000
Pakistan
+923105319575 (Phone)

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