Redemption risk and cash hoarding by asset managers

• 成果类型: Article; Proceedings Paper
• 署名作者: Morris, Stephen; Shim, Ilhyock; Shin, Hyun Song
• 署名单位: Princeton University; Bank for International Settlements (BIS); Bank for International Settlements (BIS)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.03.008
• 发表日期: 2017
• 页码: 71-87
• 关键词: Asset manager; Bond market liquidity; Cash hoarding; Global game; Investor redemption

摘要

Open-end mutual funds face investor redemptions, but the sale of the underlying assets depends on asset managers' portfolio decisions. If asset managers use cash holdings as a buffer to meet redemptions, they can mitigate fire sales of the assets. If they hoard cash in response to redemptions, they will amplify fire sales. We present a global game model of investor runs and identify conditions under which asset managers hoard cash. In an empirical investigation of bond mutual funds, we find that cash hoarding is the rule rather than the exception, and that less liquid bond funds display stronger cash hoarding. (C) 2017 Elsevier B.V. All rights reserved.