Short-term reversals, returns to liquidity provision and the costs of immediacy*
研究发现共同基金作为反向交易者提供流动性可获利，但需求流动性则承担即时性成本，平均净成本为年化1.9%，高贝塔、大盘及动量暴露基金成本超2.5%。
Some mutual funds act as contrarian traders, earning returns in the stock market by providing liquidity, while others demand liquidity and suffer costs of immediacy. The funds’ liquidity demand has increased over time. On average, the mutual funds’ costs of immediacy exceed their returns from providing liquidity by 1.9% pa. High market beta funds, large cap funds, and funds exposed to momentum suffer over 2.5% pa. in costs of immediacy. Other results are that mutual funds’ average alpha becomes insignificant when the costs of immediacy are accounted for and in the cross-section, the funds’ costs of immediacy predict their alphas.