美国市政债券共同基金的投资者流动、业绩和脆弱性

IF 6.1 2区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Stability Pub Date : 2024-05-08 DOI:10.1016/j.jfs.2024.101267

Mark A. Peterson

{"title":"美国市政债券共同基金的投资者流动、业绩和脆弱性","authors":"Mark A. Peterson","doi":"10.1016/j.jfs.2024.101267","DOIUrl":null,"url":null,"abstract":"<div><p>We examine the determinants of investor flows into, and the potential market fragility imposed by, U.S. municipal bond mutual funds. We find that funds have a linear flow-performance relationship that is consistent with effective liquidity management strategies. Funds use liquid holdings to partially offset net redemptions, but trade municipal bonds in proportion to flows. Funds increase their liquid holdings after flow volatility increases. The fact that funds use a vertical slice approach as a primary strategy is not surprising because they maintain small amounts of liquid securities. Our evidence is consistent with investors not being concerned with municipal bond mutual funds promoting run-risk.</p></div>","PeriodicalId":48027,"journal":{"name":"Journal of Financial Stability","volume":null,"pages":null},"PeriodicalIF":6.1000,"publicationDate":"2024-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Investor flows, performance, and fragility of U.S. municipal bond mutual funds\",\"authors\":\"Mark A. Peterson\",\"doi\":\"10.1016/j.jfs.2024.101267\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We examine the determinants of investor flows into, and the potential market fragility imposed by, U.S. municipal bond mutual funds. We find that funds have a linear flow-performance relationship that is consistent with effective liquidity management strategies. Funds use liquid holdings to partially offset net redemptions, but trade municipal bonds in proportion to flows. Funds increase their liquid holdings after flow volatility increases. The fact that funds use a vertical slice approach as a primary strategy is not surprising because they maintain small amounts of liquid securities. Our evidence is consistent with investors not being concerned with municipal bond mutual funds promoting run-risk.</p></div>\",\"PeriodicalId\":48027,\"journal\":{\"name\":\"Journal of Financial Stability\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":6.1000,\"publicationDate\":\"2024-05-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Stability\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1572308924000524\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Stability","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1572308924000524","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们研究了投资者流入美国市政债券共同基金的决定因素，以及美国市政债券共同基金造成的潜在市场脆弱性。我们发现，基金与有效的流动性管理策略之间存在线性流动-绩效关系。基金利用持有的流动性来部分抵消净赎回，但按流量比例交易市政债券。流量波动增加后，基金会增加流动性持有量。基金将垂直切片法作为主要策略并不奇怪，因为它们持有少量的流动性证券。我们的证据表明，投资者并不担心市政债券共同基金会助长挤兑风险。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Investor flows, performance, and fragility of U.S. municipal bond mutual funds

We examine the determinants of investor flows into, and the potential market fragility imposed by, U.S. municipal bond mutual funds. We find that funds have a linear flow-performance relationship that is consistent with effective liquidity management strategies. Funds use liquid holdings to partially offset net redemptions, but trade municipal bonds in proportion to flows. Funds increase their liquid holdings after flow volatility increases. The fact that funds use a vertical slice approach as a primary strategy is not surprising because they maintain small amounts of liquid securities. Our evidence is consistent with investors not being concerned with municipal bond mutual funds promoting run-risk.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Stability Multiple-

CiteScore

7.70

自引率

9.30%

发文量

审稿时长

34 days

期刊介绍： The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.