Mutual Fund Transaction Costs

OMI Seminar Series

We examine institutional trade data matched to a sample of mutual funds to analyze the determinants of mutual fund trading costs. Larger funds realize lower transaction costs than smaller funds despite their larger trade sizes because they hold and trade bigger, more liquid stocks. Smaller funds outperform larger funds on a net return basis primarily because they earn a premium by holding less liquid stocks. The two effects—cost efficiency for large funds and a premium for small funds—largely offset each other, leading to statistically indistinguishable four-factor performance.


Tarun Chordia, Professor of Finance, Goizueta Business School, Emory

Tuesday, April 26, 2016 - 12:30
to 13:30