Trading Regularity and Fund Performance
构建了衡量投资者交易规律性的新指标，发现规律交易的机构投资者业绩更好，且业绩可持续至少一年；但规模大的规律交易基金因交易成本高而表现相对较差。
We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that regularly trade outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who trade most regularly, larger funds perform relatively worse, because they incur higher transaction costs associated with their larger trades. Institutions that regularly trade generate superior performance, in part, by behaving as contrarians and by trading more aggressively on information. By contrast, we find no relation between trading regularity and performance among index funds. Received November 21, 2016; editorial decision March 28, 2018 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.