{"id":{"repo_id":"mit","oai_identifier":"oai:dspace.mit.edu:1721.1/57771"},"canonical_url":"https://search.dev.ndltd.org/etd/mit/oai:dspace.mit.edu:1721.1/57771","repository":{"repo_id":"mit","name":"MIT","base_url":"https://dspace.mit.edu/oai/request"},"display":{"title":"Mutual fund trading and liquidity","abstract":"This thesis uses equities holdings snapshots of mutual funds to study their trading patterns. Using quarter and semi-annual holdings of mutual funds, I am able to extract a main trading component with the application of the asymptotic principle component method. This component demonstrates short term predictability of returns over three months, suggesting overall mutual fund trades contain a liquidity trading component that temporarily pushes up stock prices that reverse over the next few months. I also demonstrates that this particular type of liquidity risk is related to other measures of liquidity risk. 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Using quarter and semi-annual holdings of mutual funds, I am able to extract a main trading component with the application of the asymptotic principle component method. This component demonstrates short term predictability of returns over three months, suggesting overall mutual fund trades contain a liquidity trading component that temporarily pushes up stock prices that reverse over the next few months. I also demonstrates that this particular type of liquidity risk is related to other measures of liquidity risk. Therefore, this trading component can be a useful building block in creating a comprehensive measure of liquidity."],"dc:description.degree":["S.M."],"dc:identifier.uri":["http://hdl.handle.net/1721.1/57771"],"dc:language.iso":["eng"],"dc:publisher":["Massachusetts Institute of Technology"],"dc:rights":["M.I.T. theses are protected by copyright. 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