التفاصيل البيبلوغرافية
| العنوان: |
Holding Horizon: A New Measure of Active Investment Management. |
| المؤلفون: |
Lan, Chunhua, Moneta, Fabio, Wermers, Russ |
| المصدر: |
Journal of Financial & Quantitative Analysis; Jun2024, Vol. 59 Issue 4, p1471-1515, 45p |
| مصطلحات موضوعية: |
STOCKS (Finance), INVESTMENT management, MEASUREMENT, MUTUAL funds |
| مستخلص: |
This article introduces a new holding horizon measure of active management and examines its relation to future risk-adjusted fund performance (alpha). Our measure reveals a wide cross-sectional dispersion in mutual fund investment horizons, and shows that long-horizon funds exhibit positive future long-term alphas by holding stocks with superior long-term fundamentals. Further, stocks largely held by long-horizon funds outperform stocks largely held by short-horizon funds by more than $ 3\% $ annually, adjusted for risk, over the following 5-year period. We also find a clientele effect: to reduce liquidity costs, long-horizon funds attract more long-term investors through share classes that carry load fees. [ABSTRACT FROM AUTHOR] |
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