Predictable Investment Horizons and Wealth Transfers among Mutual Fund Shareholders
利用一家无手续费共同基金家族所有股东的大规模专有面板数据，分析投资期限的分布，发现基金可根据开户日特征预测账户是短期还是长期，且短期股东带来的流动性成本显著更高，表明基金未提供公平的流动性风险保险。
ABSTRACT This study analyzes the distribution of investment horizons in a large, proprietary panel of all shareholders in one no‐load mutual fund family. A proportional hazards model shows that there are observable shareholder characteristics that enable the fund to predict reliably on the day each account is opened whether the account will be short term or long term. Simulations show that the liquidity costs imposed on the fund by the expected short‐term shareholders are significantly greater than those imposed by the expected long‐term shareholders. Combining these results, the analysis argues that mutual funds do not provide equitable liquidity‐risk insurance.