The Liquidity Style of Mutual Funds

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Financial Analysts Journal
November/December 2012 | Vol. 68 | No. 6 | 16 pages
Source: CFA Institute
Thomas M. Idzorek, CFA James X. Xiong, CFA Roger G. Ibbotson

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Summary

Recent literature indicates that a liquidity investment style—the process of investing in less liquid stocks—has led to excess returns relative to size and value. The authors examined whether this style, previously documented at the security level, can be uncovered at the mutual fund level. Across a wide range of mutual fund categories, they found that, on average, mutual funds that held less liquid stocks significantly outperformed those that held more liquid stocks.

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Topics
Equity Investments
|
Portfolio Management
    :
  • Equity Portfolio Management Strategies
  • ·
  • Mutual Funds, Pooled Funds, and Exchange-Traded Funds (ETFs)
Credits · About the CE Program
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