Using global mutual fund and American Depositary Receipt (ADR) data, we test if funds strategically trade cross-listed firms’ equity shares in the most liquid trading location. We find that especially funds that score high on traditional skill measures exhibit a liquidity-based trading venue preference. We identify an informed trading motive as the most likely driver for such behaviour rather than preference based on geographic, economic, cultural, or governance motives. Thus, liquidity picking is associated with fund outperformance and stock selection ability that is not limited to only cross-listed firms. Our tests directly support theories of informed trading in a multi-market setting.

中文翻译：

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流动性挑选和基金表现

使用全球共同基金和美国存托凭证 （ADR） 数据，我们测试了基金是否在流动性最强的交易地点战略性地交易交叉上市公司的股票。我们发现，特别是在传统技能指标上得分较高的基金表现出基于流动性的交易场所偏好。我们认为，知情的交易动机是最有可能的此类行为驱动因素，而不是基于地理、经济、文化或治理动机的偏好。因此，流动性选择与基金跑赢大盘和选股能力相关，不仅限于交叉上市公司。我们的测试直接支持在多市场环境中进行明智交易的理论。