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Cash holdings and the performance of European mutual funds

Graef, Frank; Vogt, Pascal; Vonhoff, Volker; Weigert, … - In: Finance research letters 29 (2019), pp. 285-291

Persistent link: https://www.econbiz.de/10012419103

Cash holdings and the performance of European mutual funds

Graef, Frank; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2018 - This version: February 2018

We investigate the determinants and performance implications of cash holdings for a large sample of actively-managed equity funds domiciled in the European Union (EU). In line with recent evidence from the US, we observe that cash holdings are strongly influenced by a fund's fee structure, past...

Persistent link: https://www.econbiz.de/10011906314

Liquidity transformation in asset management : evidence from the cash holdings of mutual funds

Chernenko, Sergey; Sunderman, Adi - 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/10011962219

Liquidity transformation in asset management : evidence from the cash holdings of mutual funds

Chernenko, Sergey; Sunderam, Adi - 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/10011975267

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/10011976823

Swing pricing : theory and evidence

Capponi, Agostino; Glasserman, Paul; Weber, Marko - In: Annual review of financial economics 15 (2023), pp. 617-640

Persistent link: https://www.econbiz.de/10014427161

Mutual fund liquidity management and family affiliation

Popescu, Marius; Xu, Zhaojin - In: Finance research letters 66 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10015061188

Regulating Cash Holdings : Assessing Lost Returns in Mutual Funds

Ben-Rubi, Shoham; Mugerman, Yevgeny; Wiener, Zvi - 2023

historically been on asset liquidity and quality, recent attention has turned to assessing fund liquidity and the risks of asset … assets under management (AUM). These findings highlight the urgency of implementing advanced liquidity management tools to … enhanced industry transparency. By establishing liquidity risk management guidelines, regulators can optimize investor returns …

Persistent link: https://www.econbiz.de/10014350019

Cash holdings in pension funds

Hasa, Sidita; Salva, Carolina - In: Journal of banking and finance 161 (2024), pp. 1-25

Persistent link: https://www.econbiz.de/10015065788

The exclamation mark of Cain : risk salience and mutual fund flows

Mugerman, Yevgeny; Steinberg, Nadav; Wiener, Zvi - In: Journal of banking & finance 134 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013400135

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