Mutual Fund Flight-to-Liquidity

A. Rzeźnik
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引用次数: 8

Abstract

This paper examines the liquidity choices of mutual funds during times of market uncertainty. I find that when markets are uncertain, mutual funds actively increase the liquidity of their portfolio – often referred to as a ‘flight-to-liquidity.’ In aggregate, mutual fund behaviour has implications for the market; the market driven flight-toliquidity places upward pressure on the liquidity premium. I examine the underlying mechanisms driving fund behaviour. I show that market volatility is associated with lower fund performance and withdrawals, which causes funds to adjust the composition of their portfolio towards more liquid assets in order to meet potential redemptions. This causal chain is consistent with Vayanos (2004), who argues that fund managers are investors with time-varying liquidity preferences due to threat of withdrawal. Aggregated over funds, the effect is substantial: a one standard deviation increase in my measure of flight-to-liquidity yields a 0.63 standard deviation increase in the excess return required for holding illiquid securities.
共同基金转向流动性
本文考察了在市场不确定时期共同基金的流动性选择。我发现,当市场不确定时,共同基金会积极增加其投资组合的流动性——通常被称为“逃离流动性”。总体而言,共同基金的行为对市场有影响;市场驱动的流动性外逃给流动性溢价带来了上行压力。我研究驱动基金行为的潜在机制。我表明,市场波动与较低的基金业绩和撤资有关,这导致基金调整其投资组合的构成,转向流动性更强的资产,以满足潜在的赎回。这一因果链与Vayanos(2004)的观点一致,他认为基金经理是由于撤资威胁而具有时变流动性偏好的投资者。从基金的整体情况来看,这种效应是巨大的:我的流动性转移指标每增加一个标准差,持有非流动性证券所需的超额回报就会增加0.63个标准差。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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