Work

Mutual Fund Liquidity Costs

Year: 2016

Type: article

Abstract: One dollar in purchases or redemptions generates an average cost of $0.006 for U.S. equity mutual funds during the period 1997-2009, approximately 70% lower than prior estimates derived from older data. However, large cross-sectional differences exist between funds. Many funds have costs near zero, but funds that hold relatively illiquid equities, have relatively concentrated portfolios, and manage relatively large amounts of assets have average liquidity costs significantly greater than the full sample average. Furthermore, despite a large difference in underlying asset liquidity, U.S. bond funds and U.S. equity funds have similar average liquidity costs.

Source: Financial Management

DOI: 10.1111/fima.12157

Authors: Jon A. Fulkerson, Timothy B. Riley

Institutions: Loyola University Maryland, University of Arkansas at Fayetteville

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2554865862

FWCI: 2.784

Cites: 47

Cited by: 21

Related to: 10