Skilled active liquidity management: Evidence from shocks to fund flows

IF 2.4 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2025-02-07 DOI:10.1016/j.jempfin.2025.101579

Aleksandra Rzeźnik

引用次数: 0

Abstract

I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows. Among affected funds, those that more aggressively increase portfolio liquidity significantly outperform their less liquidity-focused peers, suggesting that skilled managers employ active liquidity management to minimize costs imposed by redemption obligations.

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熟练的主动流动性管理：来自资金流动冲击的证据

我利用两个独立的冲击：2003年的共同基金丑闻和2016年晨星可持续性评级的引入，研究了面临意想不到的、持续的投资者撤资的美国股票共同基金的主动流动性管理。我证明，基金经理通过调整股票和现金持有量来增加投资组合的流动性，以应对突然、适度和长期的资金流出。在受影响的基金中，那些更积极地增加投资组合流动性的基金的表现明显优于那些不太关注流动性的基金，这表明熟练的基金经理采用积极的流动性管理来最大限度地降低赎回义务带来的成本。

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

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.