The Determinants and Implications of Mutual Fund Cash Holdings: Theory and Evidence
研究了股票型共同基金现金持有量的决定因素，发现小型基金和资金流波动大的基金持有更多现金，但选股能力强的经理并未持有更少现金；总体现金持有量不预测市场回报，表明基金整体缺乏择时能力。
In this article, I examine the determinants and implications of equity mutual fund cash holdings. In cross‐sectional tests, I find evidence generally supportive of a static trade‐off model developed in the article. In particular, small‐cap funds and funds with more‐volatile fund flows hold more cash. However, I do not find that fund managers with better stock‐picking skills hold less cash. Aggregate cash holdings by equity mutual funds are persistent and positively related to lagged aggregate fund flows. Aggregate cash holdings do not forecast future market returns, suggesting that equity funds as a whole do not have market timing skills.