Investor flows and the assessed performance of open-end mutual funds
研究发现开放式股票基金的异常收益与投资者资金流动存在显著负相关，控制流动性成本后基金平均异常收益从-1.6%变为不显著的-0.2%，解释了常见的负市场择时表现。
Open-end equity funds provide a diversified equity positions with little direct cost to investors for liquidity. This study documents a statistically significant indirect cost in the form of a negative relation between a fund's abnormal return and investor flows. Controlling for this indirect cost of liquidity changes the average fund's abnormal return (net of expenses) from a statistically significant −1.6% per year to a statistically insignificant −0.2% and also fully explains the negative market-timing performance found in this and other studies of mutual fund returns. Thus, the common finding of negative return performance at open-end mutual funds is attributable to the costs of liquidity-motivated trading.