Mutual Fund Stock‐Picking Skill: New Evidence from Valuation‐ versus Liquidity‐Motivated Trading
提出交易动机矩阵，区分基金的估值驱动和流动性驱动交易，发现估值驱动买入表现显著优于卖出，尤其在流动性低时，且集体估值买入预测高未来收益，交易自由度高的基金未来超额收益更高。
Abstract We propose a novel Trade Motivation Matrix that allows differentiating funds’ valuation‐motivated (VM) and liquidity‐motivated (LM) trades on single trade level. It thus enables analyses of stock‐picking skill on three levels: trade, stock, and fund. On trade level, we find significant outperformance of VM buys and significant underperformance of VM sells, indicating manager stock‐picking skills, especially during illiquid market periods. VM trades outperform LM trades, confirming negative performance effects due to flow risk, especially when market liquidity is low. On stock level, collective VM buying explains high future stock returns while collective VM selling is related to future losses, indicating wisdom of the crowd. On fund level, higher trading discretion, measured by a higher degree of VM trading, is observed for smaller, older funds holding higher cash buffers. Finally, higher trading discretion is related to higher future fund alpha, especially during illiquid times.