Liquidity Risk and Mutual Fund Performance
研究发现基金经理创造价值的能力取决于市场流动性状况，高流动性贝塔基金在不同流动性状态下的业绩差异解释了年度4%的流动性贝塔业绩差，主要源于错误定价修正或知情交易强度的差异。
This paper demonstrates that the ability of fund managers to create value depends on market liquidity conditions, which in turn introduces a liquidity risk exposure (beta) for skilled managers. We document an annual liquidity beta performance spread of 4% in the cross section of mutual funds over the period 1983–2014. Liquidity risk premia explain an insubstantial fraction of this spread; instead, the spread can be attributed to the differential ability of high liquidity beta funds to outperform across high and low market liquidity states, due to a differential rate of either mispricing correction or intensity of informed trading. Tests based on mispricing, proxied by a comprehensive set of 68 anomalies, and tick-by-tick trades, from a large proprietary institutional trading data set, corroborate the contribution of these channels. The results highlight the interaction between informed investors, mispricing, and liquidity beta. The Internet appendix is available at https://doi.org/10.1287/mnsc.2017.2851 . This paper was accepted by Neng Wang, finance.