Holding Horizon: A New Measure of Active Investment Management
提出一个衡量主动管理基金持有期限的新指标，发现长期持有基金通过持有基本面优异的股票获得正长期超额收益，且其持有股票未来五年年化超额收益比短期基金高出3%以上，同时长期基金通过收费份额吸引长期投资者以降低流动性成本。
Abstract This article introduces a new holding horizon measure of active management and examines its relation to future risk-adjusted fund performance (alpha). Our measure reveals a wide cross-sectional dispersion in mutual fund investment horizons, and shows that long-horizon funds exhibit positive future long-term alphas by holding stocks with superior long-term fundamentals. Further, stocks largely held by long-horizon funds outperform stocks largely held by short-horizon funds by more than $ 3\% $ annually, adjusted for risk, over the following 5-year period. We also find a clientele effect: to reduce liquidity costs, long-horizon funds attract more long-term investors through share classes that carry load fees.