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Liquidity Transformation in Asset Management : Evidence from the Cash Holdings of Mutual Funds

Chernenko, Sergey - 2016

We study liquidity transformation in mutual funds using a novel data set on their cash holdings. To provide investors … with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically … underlying portfolio assets. This is particularly true for funds with illiquid assets and at times of low market liquidity. We …

Persistent link: https://www.econbiz.de/10012456286

The Liquidity Cost of Private Equity Investments : Evidence from Secondary Market Transactions

Nadauld, Taylor D. - 2016

An important cost of investing in private equity is the illiquidity of these investments. In response to this illiquidity, a secondary market for transacting stakes in private equity funds has developed. This paper uses proprietary data from a leading intermediary to understand the magnitude and...

Persistent link: https://www.econbiz.de/10012456275

Cash Holdings and Credit Risk

Acharya, Viral V. - 2011

liquidity may be related positively to the longer-term probability of default. Our empirical analysis confirms these predictions …

Persistent link: https://www.econbiz.de/10012461663

Liquidity Mergers

Almeida, Heitor - 2011

We study the interplay between corporate liquidity and asset reallocation opportunities. Our model shows that … associated with the merger. We call these transactions "liquidity mergers," since their main purpose is to reallocate liquidity … to firms that might be otherwise inefficiently terminated. We show that liquidity mergers are more likely to occur when …

Persistent link: https://www.econbiz.de/10012461933

Heterogeneity in Target-Date Funds : Optimal Risk-Taking or Risk Matching?

Balduzzi, Pierluigi - 2012

Following the Pension Protection Act of 2006, there was a sharp increase in the use of TDFs as default investment options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles, even for funds with the same target retirement date. Using...

Persistent link: https://www.econbiz.de/10012460773

Rational Attention Allocation Over the Business Cycle

Kacperczyk, Marcin - 2009

The question of whether and how mutual fund managers provide valuable services for their clients motivates one of the largest literatures in finance. One candidate explanation is that funds process information about future asset values and use that information to invest in high-valued assets....

Persistent link: https://www.econbiz.de/10012463199

Learning in Financial Markets

Pastor, Lubos - 2009

We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...

Persistent link: https://www.econbiz.de/10012464003

Informed Trading, Liquidity Provision, and Stock Selection by Mutual Funds

Da, Zhi - 2008

) procedure can be decomposed into additional components that include impatient "informed trading" and "liquidity provision …," thereby helping us understand how a fund creates value. We validate our method by verifying that liquidity provision is the … funds lose on liquidity absorbing trades, since they pay the price impact on trades triggered by index rebalancing, inflows …

Persistent link: https://www.econbiz.de/10012464038

Mutual Fund Performance with Learning Across Funds

Jones, Christopher S. - 2002

This paper is based on the premise that knowledge about the alphas of one set of funds will influence an investor's beliefs about other funds. This will be true insofar as an investor's expectation about the performance of a fund is partly a belief about the abilities of mutual fund managers as...

Persistent link: https://www.econbiz.de/10012469311

Mutual Fund Flows and Performance in Rational Markets

Berk, Jonathan B. - 2002

We develop a simple rational model of active portfolio management that provides a natural benchmark against which to evaluate observed relationship between returns and fund flows. We show that many effects widely regarded as anomalous are consistent with this simple explanation. In the model,...

Persistent link: https://www.econbiz.de/10012469434