Connected Funds

IF 6.8 1区经济学 Q1 BUSINESS, FINANCE

Review of Financial Studies Pub Date : 2023-04-21 DOI:10.1093/rfs/hhad030

Daniel Fricke, Hannes Wilke

引用次数: 0

Abstract

Abstract Mutual funds often invest in other funds. In this paper, we analyze the economics behind such cross-fund investments and investigate their financial stability implications. Using granular data for the German fund sector, our main findings are that cross-fund investments (a) are becoming increasingly important over time, (b) were heavily liquidated during March 2020, and (c) display measurable contagion effects. Overall, cross-fund investments can elevate structural fund sector vulnerabilities. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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连接基金

共同基金经常投资于其他基金。在本文中，我们分析了这种交叉基金投资背后的经济学，并研究了它们对金融稳定的影响。使用德国基金部门的细粒度数据，我们的主要发现是，跨基金投资(a)随着时间的推移变得越来越重要，(b)在2020年3月期间被大量清算，(c)显示出可衡量的传染效应。总体而言，跨基金投资可能会加剧结构性基金行业的脆弱性。作者们提供了一份互联网附录，可以在牛津大学出版社的网站上找到，就在最终发表论文的链接旁边。

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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来源期刊

Review of Financial Studies Multiple-

CiteScore

16.00

自引率

2.40%

发文量

期刊介绍： The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.