Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that large redemptions will lead to asset fire sales. We find little evidence, however, that bond fund redemptions drive fire sale price pressure after controlling for time-varying...

English Abstract: We estimate systemic risk in the Korean economy using the econometric measures of commonality and connectedness applied to stock returns. To assess potential systemic risk concerns arising from the high concentration of the economy in large business groups and a few...

We examine how active share—the extent to which a portfolio's holdings differ from its benchmark's holdings—affects the performance, risk management, and flows of bond mutual funds. Measuring active share at both the issue and issuer level, the average bond fund has an issue-level...

Zero returns are widely prevalent among fixed-income funds: on over 30% of trading days, net asset values (NAVs) do not change. We show that this high prevalence of zero returns is a symptom of stale pricing by funds that exercise valuation discretion over illiquid security holdings. Further...

The authors estimate systemic risk in the Korean economy using the econometric measures of commonality and connectedness applied to stock returns. To assess potential systemic risk concerns arising from the high concentration of the economy in large business groups and a few export-oriented...

We examine the profitability of hedge fund equity short sales. We identify opening and closing trades by combining data on funds' transactions and holdings. Short sales covered within five trading days are highly profitable, but those kept open longer are not. Some of the profitability is due to...

This paper shows empirically how asset risk and financial leverage interact to explain the equity risk dynamics of value versus growth stocks. During economic downturns, the asset betas and leverage of value firms increase, contributing to a sharp rise in equity betas. Asset betas of growth...

We examine the pricing implications of reaching for yield, which we define as a preference for bonds with higher yields at a given rating or for bonds with higher ratings at given yields. Reaching for yield is associated with high valuation and thus negatively predicts cross-sectional bond...

We examine "reaching for yield" in U.S. corporate bond mutual funds. We define reaching for yield as tilting portfolios toward bonds with yields higher than the benchmarks. We find that funds generate higher returns and attract more inflows when they reach for yield, especially in periods of...

We show causal effects of capital supply from mutual funds on municipal financing. We employ a novel identification strategy based on Morningstar star rating introductions to isolate the supply-side effects that are orthogonal to both fund and bond issuer fundamentals. The results using both...