{"title":"Meeting investor outflows in Czech bond and equity funds: horizontal or vertical?","authors":"Milan Szabo","doi":"10.1007/s10663-022-09553-w","DOIUrl":null,"url":null,"abstract":"<p><p>This paper explores liquidity management practices in Czech open-ended bond and equity funds. I reconstruct cash flows stemming from investors and securities, and cash flows related to purchases and sales in portfolios and margin calls to study liquidity transformation and liquidity management in investment funds. I study how portfolio illiquidity and current market conditions influence the joint behavior between investor redemptions and funds' liquidity management. I point to a strong propensity to reduce the liquid buffers rather than sales of securities to meet redemptions in bond funds. The propensity increases with portfolio illiquidity. I show equity funds historically tended to dash for cash in response to investor redemptions during a severe market turmoil.</p>","PeriodicalId":46526,"journal":{"name":"Empirica","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9589868/pdf/","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Empirica","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s10663-022-09553-w","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2022/10/20 0:00:00","PubModel":"Epub","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
This paper explores liquidity management practices in Czech open-ended bond and equity funds. I reconstruct cash flows stemming from investors and securities, and cash flows related to purchases and sales in portfolios and margin calls to study liquidity transformation and liquidity management in investment funds. I study how portfolio illiquidity and current market conditions influence the joint behavior between investor redemptions and funds' liquidity management. I point to a strong propensity to reduce the liquid buffers rather than sales of securities to meet redemptions in bond funds. The propensity increases with portfolio illiquidity. I show equity funds historically tended to dash for cash in response to investor redemptions during a severe market turmoil.
期刊介绍：
Empirica is a peer-reviewed journal, which publishes original research of general interest to an international audience. Authors are invited to submit empirical papers in all areas of economics with a particular focus on European economies. Per January 2021, the editors also solicit descriptive papers on current or unexplored topics.
Founded in 1974, Empirica is the official journal of the Nationalökonomische Gesellschaft (Austrian Economic Association) and is published in cooperation with Austrian Institute of Economic Research (WIFO). The journal aims at a wide international audience and invites submissions from economists around the world.
Officially cited as: Empirica
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