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Dynamic Liquidity and Mutual Fund Performance

Qiang Bu and Nelson Lacey
The Journal of Investing Fall 2017, 26 (3) 77-88; DOI: https://doi.org/10.3905/joi.2017.26.3.077
Qiang Bu
is an associate professor of finance in the School of Business Administration at Pennsylvania State University-Harrisburg in Middletown, PA
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Nelson Lacey
is a professor of finance in the Isenberg School of Management at the University of Massachusetts-Amherst in Amherst, MA
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Abstract

This article introduces a new measure of liquidity for equity mutual funds. This measure, the dynamic liquidity score (DLS), is a combination of a fund’s money flow and its volatility around money flow. The authors show that a fund’s dynamic liquidity score is an improved indicator of fund liquidity and can be used as a signal of performance. For example, in a volatile market, a high DLS is associated with a higher fund return, whereas in a stable market, DLS is negatively associated with the fund return. Overall, the impact of dynamic liquidity on fund performance is short term and time varying.

TOPICS: Mutual fund performance, equity portfolio management

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The Journal of Investing: 26 (3)
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Dynamic Liquidity and Mutual Fund Performance
Qiang Bu, Nelson Lacey
The Journal of Investing Aug 2017, 26 (3) 77-88; DOI: 10.3905/joi.2017.26.3.077

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Dynamic Liquidity and Mutual Fund Performance
Qiang Bu, Nelson Lacey
The Journal of Investing Aug 2017, 26 (3) 77-88; DOI: 10.3905/joi.2017.26.3.077
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    • Abstract
    • THE DYNAMIC LIQUIDITY SCORE
    • DATA AND SUMMARY STATISTICS
    • EMPIRICAL FINDINGS
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