| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12195 |
| DP12195 Portfolio Liquidity and Diversification: Theory and Evidence | |
| Luboš Pástor; Robert F. Stambaugh; Lucian Taylor | |
| 发表日期 | 2017-08-03 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | A portfolio's liquidity depends not only on the liquidity of its holdings but also on its diversification. We propose simple, theoretically motivated measures of portfolio liquidity and diversification. We also develop an equilibrium model relating portfolio liquidity to fund size, expense ratio, and turnover. As the model predicts, mutual funds with less liquid portfolios have smaller size, higher expense ratios, and lower turnover. The model also yields additional predictions that we verify empirically: larger funds are cheaper, funds that trade less are larger and cheaper, and funds that are too big perform worse. We also find that mutual fund portfolios have become more liquid because both components of diversification, coverage and balance, have trended upward. |
| 主题 | Financial Economics |
| 关键词 | Portfolio liquidity Diversification Mutual funds |
| URL | https://cepr.org/publications/dp12195 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541008 |
| 推荐引用方式 GB/T 7714 | Luboš Pástor,Robert F. Stambaugh,Lucian Taylor. DP12195 Portfolio Liquidity and Diversification: Theory and Evidence. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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