PT  - JOURNAL ARTICLE
AU  - Qiang Bu
AU  - Nelson Lacey
TI  - Dynamic Liquidity and Mutual Fund Performance
AID  - 10.3905/joi.2017.26.3.077
DP  - 2017 Aug 31
TA  - The Journal of Investing
PG  - 77--88
VI  - 26
IP  - 3
4099  - https://pm-research.com/content/26/3/77.short
4100  - https://pm-research.com/content/26/3/77.full
AB  - 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