Impatient Trading, Liquidity Provision, and Stock Selection by Mutual Funds
研究发现共同基金的股票选择技能可分解为吸收流动性的急躁交易和提供流动性两部分，其中急躁交易对业绩贡献更大，尤其对成长型基金。
We show that a mutual fund's stock selection skill can be decomposed into additional components that include liquidity-absorbing impatient trading and liquidity provision. We find that past performance predicts future performance better among funds trading in stocks affected more by information events: Past winners earn a risk-adjusted after-fee excess return of 35 basis points per month in the future. Most of that superior performance comes from impatient trading. We also find that impatient trading is more important for growth-oriented funds, and liquidity provision is more important for younger income funds. © 2010 The Author Published by Oxford University Press on behalf of The Society for Financial Studies.