Manconi, Alberto; Massa, Massimo; Yasuda, Ayako - In: Journal of Financial Economics 104 (2012) 3, pp. 491-518
Using novel data on investors' bond portfolios, we study the contagion of the crisis from securitized bonds to corporate bonds. When securitized bonds became “toxic” in August 2007, mutual funds retained the now illiquid securitized bonds and sold corporate bonds. Funds with negative flows...