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• W2622106505 abstract "This paper examines the effect of algorithmic trading on the US mutual fund performance. Using the AT proxy of Hendershott et al. (2011), the US domestic equity mutual fund returns and their stock holdings, we find evidence that funds holding stocks with higher AT exposure have lower holdings return. This underperformance is compensated by higher interim trading profits of fund managers measured by the return gap. The strong positive causal effect of AT on return gap exists even after controlling for liquidity and execution shortfall, suggesting fund managers’ ability to benefit from improved trading conditions are brought about by AT. In addition, we find that the largest AT effect is in funds holding small-cap stocks, and the smallest effect in index funds." @default.
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• W2622106505 date "2017-01-01" @default.
• W2622106505 modified "2023-09-29" @default.
• W2622106505 title "Algorithmic Trading and Mutual Fund Performance" @default.
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• W2622106505 doi "https://doi.org/10.2139/ssrn.2980774" @default.
• W2622106505 hasPublicationYear "2017" @default.
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