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Runs on money market mutual funds
Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ - 2014 - [revised]
We study daily money market mutual fund flows at the individual share class level during the crisis of September 2008. The empirical approach that we apply to this fine granularity of data brings new insights into the investor and portfolio holding characteristics that are conducive to run-risk...
Persistent link: https://www.econbiz.de/10011482229
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Shadow Insurance? Money Market Fund Investors and Bank Sponsorship
Jacewitz, Stefan - 2020
In this paper, we argue that bank-sponsored prime institutional money market funds (PI-MMFs) are different from non-bank-sponsored PI-MMFs. This difference can arise because the sponsoring bank holding companies (BHCs) can extend shadow insurance to ailing affiliated MMFs. We hypothesize that...
Persistent link: https://www.econbiz.de/10012831046
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Asset Illiquidity and Financial Conditions -- An Examination of the U.S. Corporate Bond Market
Duan, Yaxin - 2014
Using the lead underwriter of a bond issue as a proxy for the market maker of the bond and credit default swap (CDS) as … a measure of financial conditions, this paper shows that a bond's liquidity is positively related to the financial … conditions of its market maker. In particular, controlling for other bond characteristics and market wide liquidity, bonds whose …
Persistent link: https://www.econbiz.de/10013049394
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Illiquid financial products and distribution policies : new insights
Polato, Maurizio; Floreani, Josanco - In: Journal of applied finance & banking 1 (2011) 2, pp. 155-172
investors lack the basic tools for evaluating more complex structures and liquidity costs; this, in turn, leaves room for …
Persistent link: https://www.econbiz.de/10009536158
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Liquidity Crises in the Mortgage Market
Kim, You - 2020
are vulnerable to liquidity pressures in both their loan origination and servicing activities, and we document that this … sector in aggregate appears to have minimal resources to bring to bear in a stress scenario. We show how the same liquidity …
Persistent link: https://www.econbiz.de/10012852711
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The value of internal sources of funding liquidity: U.S. broker-dealers and the financial crisis
Caglio, Cecilia; Copeland, Adam; Martin, Antoine - 2021
We use confidential and novel data to measure the benefit to broker-dealers of being affiliated with a bank holding company and the resulting access to internal sources of funding. We accomplish this by comparing the balance sheets of broker-dealers that are associated with bank holding...
Persistent link: https://www.econbiz.de/10012520311
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The Value of Internal Sources of Funding Liquidity : U.S. Broker-Dealers and the Financial Crisis
Caglio, Cecilia; Copeland, Adam M.; Martin, Antoine - 2021
We use confidential and novel data to measure the benefit to broker-dealers of being affiliated with a bank holding company and the resulting access to internal sources of funding. We accomplish this by comparing the balance sheets of broker-dealers that are associated with bank holding...
Persistent link: https://www.econbiz.de/10013226301
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Liquidity in the Mortgage Market : How Does the COVID-19 Crisis Compare with the Global Financial Crisis?
Pence, Karen M. - 2022
The liquidity strains that contributed to the meltdown of the mortgage market in the Global Financial Crisis (GFC) re … estate investment trusts (REITs) on short-term funding amplified market disruption in March 2020. However, other liquidity …
Persistent link: https://www.econbiz.de/10013404844
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You can‘t always get what you want (where you want it) : cross-border effects of the US money market fund reform
Fricke, Daniel; Greppmair, Stefan; Paludkiewicz, Karol - 2022
This paper documents significant cross-border effects of the 2014 US money market fund (MMF) reform on MMFs in the euro area. As US-based prime MMFs became less money-like due to the reform, euro area-based prime MMFs received large inflows from foreign investors. These cross-border flows were...
Persistent link: https://www.econbiz.de/10012876146
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U.S. Prime Money Market Funds after Lehman : The Quest to Regain Safe-Asset-Status
Thierfelder, Felix - 2013
The behavior of MMFs since fall 2008 suggests that in evaluating the systemic risk posed by prime MMFs it is not enough to focus on the funds' ability to meet large investor withdrawals during severe stress periods. Instead, today it appears to be even more important to look at the tendency of...
Persistent link: https://www.econbiz.de/10013086455