实物赎回与共同基金流动性管理

V. Agarwal, Honglin Ren, Ke Shen, Haibei Zhao
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引用次数: 7

摘要

开放式共同基金可以使用实物赎回来满足投资者的赎回,通过交付证券而不是现金。我们发现,保留实物赎回权的基金在业绩不佳后赎回较少。来自实际实物交易的证据揭示了几种独特的实物赎回机制,以缓解资金挤兑,包括交付更多非流动性股票和税收负担更大的股票。资金外流对基金业绩的不利影响也较小。另一方面,当赎回投资者被迫自行出售证券时,他们承担了巨大的清算成本。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Redemption in Kind and Mutual Fund Liquidity Management
Open-end mutual funds can use redemption in kind to satisfy investor redemptions by delivering securities instead of cash. We find that funds that reserve their rights to redeem in kind experience less redemption after poor performance. Evidence from actual in-kind transactions reveals several unique mechanisms for redemption in kind to mitigate fund runs, including the delivery of more illiquid stocks and stocks with greater tax overhang. Funds also suffer less from the adverse impact of outflows on their performance. On the other hand, redeeming investors bear significant liquidation costs when they are forced to sell securities on their own.
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