| dc.contributor.advisor | Jiang Wang. | en_US |
| dc.contributor.author | Chu, Ka Yin Kevin | en_US |
| dc.contributor.other | Sloan School of Management. | en_US |
| dc.date.accessioned | 2010-08-31T14:31:23Z | |
| dc.date.available | 2010-08-31T14:31:23Z | |
| dc.date.copyright | 2010 | en_US |
| dc.date.issued | 2010 | en_US |
| dc.identifier.uri | http://hdl.handle.net/1721.1/57771 | |
| dc.description | Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2010. | en_US |
| dc.description | Cataloged from PDF version of thesis. | en_US |
| dc.description | Includes bibliographical references (p. 52-56). | en_US |
| dc.description.abstract | This thesis uses equities holdings snapshots of mutual funds to study their trading patterns. Using quarter and semi-annual holdings of mutual funds, I am able to extract a main trading component with the application of the asymptotic principle component method. This component demonstrates short term predictability of returns over three months, suggesting overall mutual fund trades contain a liquidity trading component that temporarily pushes up stock prices that reverse over the next few months. I also demonstrates that this particular type of liquidity risk is related to other measures of liquidity risk. Therefore, this trading component can be a useful building block in creating a comprehensive measure of liquidity. | en_US |
| dc.description.statementofresponsibility | by Ka Yin Kevin Chu. | en_US |
| dc.format.extent | 56 p. | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Massachusetts Institute of Technology | en_US |
| dc.rights | M.I.T. theses are protected by
copyright. They may be viewed from this source for any purpose, but
reproduction or distribution in any format is prohibited without written
permission. See provided URL for inquiries about permission. | en_US |
| dc.rights.uri | http://dspace.mit.edu/handle/1721.1/7582 | en_US |
| dc.subject | Sloan School of Management. | en_US |
| dc.title | Mutual fund trading and liquidity | en_US |
| dc.type | Thesis | en_US |
| dc.description.degree | S.M. | en_US |
| dc.contributor.department | Sloan School of Management | |
| dc.identifier.oclc | 625106060 | en_US |
