Effect of high‐frequency trading on mutual fund performance
研究发现，共同基金持有的股票中高频交易活动越密集，基金业绩越差，前五分之一与后五分之一基金的年收益率差距达2.64%，部分原因是高频交易者偏好流动性强的股票导致流动性溢价。
Abstract We find that high‐frequency trading (HFT) in stocks held by mutual funds negatively affects fund performance: when sorted by HFT intensity of holdings, funds in the top quintile underperform funds in the bottom quintile by 2.64% per year. The negative relation can be at least partially explained by the illiquidity premium induced by high‐frequency traders’ preference for more liquid stocks. This reason for underperformance of mutual funds has not been previously explored or documented. In addition, we do not find evidence to support the concern that HFT raises trading costs of mutual funds.