Predictable Investment Horizons And Wealth Transfers Among Mutual Fund Shareholders  

Oleh:

Johnson, Woodrow T.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 5 (Oct. 2004), page 1979-2012.
Topik: investment; studies; mutual funds; stockholders; liquidity; investment policy; risk; long term; short term
Fulltext: p 1979.pdf (188.57KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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This study analyzes the distribution of investment horizons in a large, proprietary panel of all shareholders in one no - load mutual fund family. A proportional hazards model shows that there are observable shareholder characteristics that enable the fund to predict reliably on the day each account is opened whether the account will be short term or long term. Simulations show that the liquidity costs imposed on the fund by the expected short - term shareholders are significantly greater than those imposed by the expected long - term shareholders. Combining these results, the analysis argues that mutual funds do not provide equitable liquidity - risk insurance.

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