---
title: Imputing Mutual Fund Trades
url: https://www.ml-quant.com/papers/ssrn/4678139/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4678139
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4678139
featured: 2024-01-03
citations: 2
topic: Portfolio & Allocation
---


# Imputing Mutual Fund Trades

The paper introduces a new method to estimate daily mutual fund trades in individual stocks using daily stock prices, returns, and quarterly fund holdings, showing high accuracy for larger trades.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4678139
- Identifier: SSRN 4678139
- Released: 2023-08-19
- First featured: Quant Letter No. 31 (2024-01-03): https://www.ml-quant.com/issues/2024-01-03/
- Citations (Semantic Scholar): 2
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Active ETFs Cloned from Mutual Funds: Competing for Investor Flows](https://www.ml-quant.com/papers/ssrn/4653702/): The research indicates that less transparent active ETFs do not affect mutual fund investor flows, instead, the reputation of the cloned mutual funds helps the new ETFs attract more flows.
- [Talk vs. Walk: Lessons from Silent Sustainable Investing of Mutual Funds](https://www.ml-quant.com/papers/ssrn/4602285/): Talk vs. Walk: The study finds that investors favor internal ESG labels over external sustainability ratings, significantly influencing fund flows, but high sustainability rating funds don't necessarily rebrand as ESG funds due to regulatory pressure and limited benefits.
- [Remeasuring Scale in Active Management](https://www.ml-quant.com/papers/ssrn/4599484/): The study suggests that previous research significantly overestimates the diminishing returns of mutual funds when considering additional institutional assets managed under the same strategy.
- [Political Connections, Corruption, and Investment Decisions of Chinese Mutual Funds](https://www.ml-quant.com/papers/ssrn/4586940/): A study finds a direct correlation between Chinese mutual funds' political ties and their investment choices, with these influences decreasing after the 2012 anti-corruption campaign, implying such campaigns can improve market fairness.
- [Who Clears the Market When Passive Investors Trade?](https://www.ml-quant.com/papers/ssrn/4777585/): The article investigates the role of firms in providing shares to passive investors, particularly in response to index funds' buying.
- [Ensembling Arimax Model in Algorithmic Investment Strategies on Commodities Market](https://www.ml-quant.com/papers/ssrn/4577441/): ARIMAX/ARIMAX-Garch models are ineffective for making buy or sell decisions for selected commodity baskets, as per a study on four Invesco ETF funds.