@article {Bu77, author = {Qiang Bu and Nelson Lacey}, title = {Dynamic Liquidity and Mutual Fund Performance}, volume = {26}, number = {3}, pages = {77--88}, year = {2017}, doi = {10.3905/joi.2017.26.3.077}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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{\textquoteright}s money flow and its volatility around money flow. The authors show that a fund{\textquoteright}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}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/26/3/77}, eprint = {https://joi.pm-research.com/content/26/3/77.full.pdf}, journal = {The Journal of Investing} }