{"title":"2020年3月债券基金面对投资者赎回的流动性管理与资产出售","authors":"A. Schrimpf, Ilhyock Shim, H. Shin","doi":"10.2139/ssrn.3799868","DOIUrl":null,"url":null,"abstract":"Investor redemptions are one factor behind asset sales by open-ended mutual funds, but an important additional factor is the selling due to the funds' liquidity management. \n \nFunds holding illiquid assets reacted to redemptions in March 2020 by adding to their cash buffers even after meeting investor redemptions. For such funds, asset sales exceeded investor redemptions. \n \nIncreases in end-of-period cash holdings were less pronounced for funds that started the stress period with larger buffers, suggesting that such funds were less prone to selling at the height of the stress.","PeriodicalId":275096,"journal":{"name":"Monetary Economics: Financial System & Institutions eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-03-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":"{\"title\":\"Liquidity Management and Asset Sales by Bond Funds in the Face of Investor Redemptions in March 2020\",\"authors\":\"A. Schrimpf, Ilhyock Shim, H. Shin\",\"doi\":\"10.2139/ssrn.3799868\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Investor redemptions are one factor behind asset sales by open-ended mutual funds, but an important additional factor is the selling due to the funds' liquidity management. \\n \\nFunds holding illiquid assets reacted to redemptions in March 2020 by adding to their cash buffers even after meeting investor redemptions. For such funds, asset sales exceeded investor redemptions. \\n \\nIncreases in end-of-period cash holdings were less pronounced for funds that started the stress period with larger buffers, suggesting that such funds were less prone to selling at the height of the stress.\",\"PeriodicalId\":275096,\"journal\":{\"name\":\"Monetary Economics: Financial System & Institutions eJournal\",\"volume\":\"42 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-03-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"9\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Monetary Economics: Financial System & Institutions eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3799868\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Monetary Economics: Financial System & Institutions eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3799868","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Liquidity Management and Asset Sales by Bond Funds in the Face of Investor Redemptions in March 2020
Investor redemptions are one factor behind asset sales by open-ended mutual funds, but an important additional factor is the selling due to the funds' liquidity management.
Funds holding illiquid assets reacted to redemptions in March 2020 by adding to their cash buffers even after meeting investor redemptions. For such funds, asset sales exceeded investor redemptions.
Increases in end-of-period cash holdings were less pronounced for funds that started the stress period with larger buffers, suggesting that such funds were less prone to selling at the height of the stress.
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