Aggregate risk and efficiency of mutual funds

Simas Kucinskas

I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social optimum even when liquidity demand is not directly observed.

MoreLess

Year of publication:	2015
Authors:	Kucinskas, Simas
Publisher:	Rotterdam [u.a.] : Tinbergen Inst.
Subject:	mutual funds \| equity contracts \| liquidity creation \| liquidity insurance \| aggregate risk \| Investmentfonds \| Investment Fund \| Risiko \| Risk \| Liquidität \| Liquidity \| Finanzmarkt \| Financial market \| Betriebliche Liquidität \| Corporate liquidity \| Kapitalanlage \| Financial investment \| Risikoprämie \| Risk premium

freely available

Full text |

More access options

www.tinbergen.nl

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	Online-Ressource (27 S.)
Series:	Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-113
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/125114 [Handle]
Classification:	D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving ; E61 - Policy Objectives; Policy Designs and Consistency; Policy Coordination ; G21 - Banks; Other Depository Institutions; Mortgages ; G23 - Pension Funds; Other Private Financial Institutions ; G28 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011339154