A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions
利用交易数据，按基金持有期长短分解其价值增值，发现高换手率基金在头两周内创造大部分价值，且超80%来自FOMC和财报公告日。
ABSTRACT We decompose mutual fund value added by the length of funds' holdings using transaction‐level data. We motivate our decomposition with a model featuring horizon‐specific investment ideas, where short‐term ideas are less scalable because the associated trades cannot be spread over time. Fund turnover correlates negatively with the horizon over which value is added and positively with price impact costs. As predicted, holdings of high‐turnover funds add a substantial amount of value in the first two weeks, of which more than 80% is earned on Federal Open Market Committee (FOMC) and earnings announcement days. Holdings of low‐turnover funds add value only over longer horizons.