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Mutual funds’ returns from providing liquidity and costs of immediacy
Rinne, Kalle; Suominen, Matti - 2014
Persistent link: https://www.econbiz.de/10010502055
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Vulnerable asset management? : the case of mutual funds
Fricke, Christoph; Fricke, Daniel - 2017
funds’ vulnerability to systemic asset liquidations, highlighting the importance of funds’ liquidity transformation …. Therefore, regulators should monitor structural vulnerabilities in the fund sector arising through liquidity transformation. …
Persistent link: https://www.econbiz.de/10011740280
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Redemption in kind and mutual fund liquidity management
Agarwal, Vikas; Ren, Honglin; Shen, Ke; Zhao, Haibei - 2021
Open-end mutual funds can use redemption in kind to satisfy investor redemptions by delivering securities instead of cash. We find that funds that reserve their rightsto redeem in kind experience less redemption after poor performance. Evidence from actual in-kind transactions reveals several...
Persistent link: https://www.econbiz.de/10012818297
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Bank balance sheet constraints and bond liquidity
Breckenfelder, Johannes; Ivashina, Victoria - 2021
banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …
Persistent link: https://www.econbiz.de/10012622810
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Measuring the liquidity profile of mutual funds
Aramonte, Sirio; Scotti, Chiara; Zer, Ilknur - 2019
We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate … liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises … that, following negative news, the sensitivity to aggregate liquidity increases for less-liquid mutual funds, like those …
Persistent link: https://www.econbiz.de/10012181929
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Credit ETFs in mutual funds and corporate bond liquidity
Meli, Jeffrey; Todorova, Zornitsa - In: Financial markets, institutions & instruments 32 (2023) 3, pp. 89-114
Persistent link: https://www.econbiz.de/10014326679
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Investment funds and financial stability : policy considerations
Garcia Pascual, Antonio (ed.); Singh, Ranjit A. (ed.);  … - 2021
The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard setters. In this context, the global nature of the...
Persistent link: https://www.econbiz.de/10013336244
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A Dynamic Theory of Mutual Fund Runs and Liquidity Management
Zeng, Yao - 2017
I model an open-end mutual fund investing in illiquid assets and show that the fund's endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t 1 after outflows at t to prevent future forced sales of illiquid...
Persistent link: https://www.econbiz.de/10012964425
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Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns
Broman, Markus S. - 2016
shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …
Persistent link: https://www.econbiz.de/10013007326
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A Dynamic Theory of Mutual Fund Runs and Liquidity Management
Zeng, Yao - 2021
I model an open-end mutual fund investing in illiquid assets and show that the fund’s endogenous cash management can generate shareholder runs even with a flexible NAV. The fund optimally re-builds its cash buffers at time t + 1 after outflows at t to prevent future forced sales of illiquid...
Persistent link: https://www.econbiz.de/10013248951