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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

Redemptions and asset liquidations in corporate bond funds

Dötz, Niko; Weth, Mark - 2019

Mutual funds' exposure to corporate bonds has brought concerns about risks arising from liquidity transformation back … to the fore. With a focus on fund asset liquidity and investors, this paper explores the flow-performance relationship … and the liquidity management of funds in the presence of net redemptions. We highlight the response of fund liquidity …

Persistent link: https://www.econbiz.de/10011995042

Connected funds

Fricke, Daniel; Wilke, Hannes - 2020

Investment funds are highly connected with each other, but also with the broader financial system. In this paper, we quantify potential vulnerabilities arising from funds' connectedness. While previous work exclusively focused on indirect connections (overlapping asset portfolios) between...

Persistent link: https://www.econbiz.de/10012264505

Synthetic leverage and fund risk-taking

Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...

Persistent link: https://www.econbiz.de/10012489580

The spillover effect of managerial taxes on mutual fund risk-taking

Bührle, Anna Theresa; Yen, Chia-Yi - 2023 - First version: July 18, 2023

When faced with higher managerial taxes, mutual fund managers who personally invest in the funds they manage take on greater risk. By exploiting the enactment of the American Taxpayer Relief Act 2012 as an exogenous tax shock, we observe that co-investing fund managers increase risk-taking by...

Persistent link: https://www.econbiz.de/10014323792

Who creates and who bears flow externalities in mutual funds?

Fricke, Daniel; Jank, Stephan; Wilke, Hannes - 2022

Using a unique dataset on the sectoral ownership structure of euro area equity mutual funds, we study how different investor groups contribute to the negative performance externality from large outflows. Investment funds, as holders of mutual funds, are the main contributors to the flow...

Persistent link: https://www.econbiz.de/10013435221

Market transparency and the marking precision of bond mutual fund managers

Cici, Gjergji; Gibson, Scott; Gündüz, Yalın; … - 2014

We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit’s CDS database. Disseminated bonds show large and statistically significant...

Persistent link: https://www.econbiz.de/10010373710

The optimal mix of business entities : the value of partial limited liability

Kraizberg, Elli - 1989

Persistent link: https://www.econbiz.de/10000769114

Optimal trade execution under endogenous order flow

Chen, Ying; Hoang Hai Tran; Horst, Ulrich - 2023

We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...

Persistent link: https://www.econbiz.de/10014476807

Portfolio liquidation under factor uncertainty

Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...

Persistent link: https://www.econbiz.de/10012500352

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