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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

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

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

The cross-section of conditional mutual fund performance in European stock markets

Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; … - 2012 - This version: 12 June 2012

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

Persistent link: https://www.econbiz.de/10009705491

Do mutual funds outperform during recessions? : international (counter-) evidence

Fink, Christopher; Raatz, Katharina; Weigert, Florian - 2014 - This draft: September 28, 2014

Recent academic research predicts that (i) equity mutual funds have a systematically better performance during periods of economic downturn and (ii) investors are willing to pay high fees for funds that provide recession insurance. In this paper, we test these hypotheses using international fund...

Persistent link: https://www.econbiz.de/10010410729

Dissecting short-sale performance : evidence from large position disclosures

Jank, Stephan; Smajlbegovic, Esad - 2015

Short sellers are perceived as informed, sophisticated investors. Yet little is known about their actual performance and trading strategies. Using a novel, hand-collected data set of daily position disclosures in Europe, we identify the entry, change, and exit dates of large short-sale positions...

Persistent link: https://www.econbiz.de/10011392610

International characteristic-based asset pricing

Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019

In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...

Persistent link: https://www.econbiz.de/10012387428

Crowding of international mutual funds

Artiga González, Tanja; Dyakov, Teodor; Inhoffen, Justus; … - 2021

We construct a fund-speciﬁc measure of crowding using the equity holdings overlap of 17,364 global funds which are actively managed. Funds in the top decile of crowding underperform the passive benchmark by 1.4% per year. The poor performance cannot be attributed to fees and transaction costs...

Persistent link: https://www.econbiz.de/10012498358

Mutual funds and safe government bonds : do returns matter?

Graziano, Marco; Habib, Maurizio Michael - 2024

This paper investigates the sensitivity of the demand for safe government debt to currency unhedged and hedged excess returns in a sample of US mutual funds. We find evidence of active rebalancing towards government bonds that offer relatively higher returns on an unhedged basis, in particular...

Persistent link: https://www.econbiz.de/10014527087