Transaction-cost Expenditures and the Relative Performance of Mutual Funds

Preprint OPEN
John M.R. Chalmers; Roger M. Edelen; Gregory B. Kadlec;
(1999)
  • Subject:
    mesheuropmc: health care economics and organizations

We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average 0.78% of fund assets per year and have an inter-quartile range of 0.59%. Trading co... View more
  • References (28)
    28 references, page 1 of 3

    Amihud, Y., Mendelson, H., 1986. Asset pricing and the bid-ask spread. Journal of Financial Economics 17, 223-249.

    Bogle, John C., Bogle on Mutual Funds: New Perspectives for the Intelligent Investor, Irwin Professional Publishing, 1994, Burr Ridge, IL.

    Brown, S.J., W. N. Goetzmann, 1997. Mutual Fund Styles. Journal of Financial Economics, 43, 373-399.

    Carhart, M, 1997, On persistence in mutual fund performance, The Journal of Finance, 52, 1, 57- 82.

    Chalmers, J.M.R., Kadlec, G.B., 1998. An empirical examination of the amortized spread. The Journal of Financial Economics, 48, 2, 159-188.

    Chan, L.K.C. and J. Lakonishok, 1993. Institutional trades and intraday stock price behavior, Journal of Financial Economics, 33. 173-199.

    Chan, L.K.C., J. Lakonishok, 1995. The behavior of stock prices around institutional trades, Journal of Finance, 50, 1147-1174.

    Chan, L.K.C., J. Lakonishok, 1997. Institutional equity trading costs: NYSE versus Nasdaq, Journal of Finance. 52, 713-735.

    Collins, S. and P. Mack, 1997, The optimal amount of assets under management in the mutual fund industry, Financial Analysts Journal, September/October, 67-73.

    Daniel, K., M. Grinblatt, S. Titman, and R. Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, The Journal of Finance, 52, 1035-1058.

  • Metrics
Share - Bookmark