Fund Flow Volatility and Performance
分析每日共同基金资金流波动性对基金业绩的影响，发现资金流波动性与风险调整后业绩呈显著负相关，该关系主要由国内股票基金、小基金、业绩好的基金和资金净流入的基金驱动，结果支持非自主交易产生的交易成本解释。
Abstract This paper provides a detailed analysis of the impact of daily mutual fund flow volatility on fund performance. I document a significant negative relationship between the volatility of daily fund flows and cross-sectional differences in risk-adjusted performance. This relationship is driven by domestic equity funds, as well as small funds, well-performing funds, and funds that experience inflows over the sample period. My results are consistent with performance differences arising from the transaction costs of nondiscretionary trading driven by daily fund flows, but not with performance differences arising from the suboptimal cash holdings that arise from fund flows.