TAILIEUCHUNG - An analysis of mutual fund trading costs *

Activities of the group so far include 5 Summits (held in Europe and the USA), as well as organising a P80 Asia Summit in Korea in 2010 (in partnership with the Asian Development Bank and the UNEP FI), for funds across Asia to share knowledge and experience and engage in the „green growth‟ agenda. The P8 Secretariat has also been working with the Asian Development Bank, the UK Government, and the International Finance Corporation to help design a new public-private partnership fund concept (CP3 Fund) for mobilizing large scale capital for Asia low carbon infrastructure investing (see later section. | A J An analysis of mutual fund trading costs John . Chalmers Lundquist College of Business 1208 University of Oregon Eugene OR 97403-1208 jchalmer@ Roger M. Edelen The Wharton School University of Pennsylvania Philadelphia PA 19104-6367 edelen@ Gregory B. Kadlec Pamplin College of Business Virginia Tech Blacksburg VA 24060-0221 kadlec@ This Version November 23 1999 First Version March 15 1998 We thank Grant Cullen Diane Del Guercio Jarrad Harford Craig MacKinlay Abon Mozumdar Wayne Mikkelson Megan Partch Russ Wermers and Lu Zheng for helpful suggestions. This work has also benefited from the comments of seminar participants at the Massachusetts Institute of Technology the University of Illinois-Champaign-Urbana the University of Maryland the University of Oregon Virginia Tech the 14th Annual Pacific Northwest Finance Conference the 1999 Western Finance Association meetings and the Micro workshop at Wharton. We thank Julia Acton John Blease Chris Henshaw Sergey Sanzhar and Paul Vu for excellent research assistance. We thank Mark Carhart and Andrew Metrick for providing data used in this study. This paper was previously circulated under the title Evaluating mutual fund managers by the operational efficiency of their trades. An analysis of mutual fund trading costs Abstract We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average of fund assets per year and have an inter-quartile range of . Trading costs like expense ratios are negatively related to fund returns and we find no evidence that on average trading costs are recovered in higher gross fund returns. We find that our direct estimates of trading costs have more explanatory power for fund returns than turnover. Finally trading costs are associated with investment objectives. However variation in trading costs within investment .

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