Mutual fund trading and liquidity
Name
625106060-MIT.pdf
Description
Full printable version
Size
2.62 MB
Format
Adobe PDF
Checksum (MD5)
cb6a61628747dfde8a5fcf17e04bcda9
Author(s)
Chu, Ka Yin Kevin
Advisor(s)
Jiang Wang.
Date Issued
2010
Publisher
Massachusetts Institute of Technology
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.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2010.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 52-56).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
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