Connected Funds

• 成果类型: Article
• 署名作者: Fricke, Daniel; Wilke, Hannes
• 署名单位: Deutsche Bundesbank
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad030
• 发表日期: 2023
• 页码: 4546
• 关键词: cross-section; institutional investors; fire sales; RISK; fragility; CRISIS; FLOWS; time

摘要

Mutual funds often invest in other funds. In this paper, we analyze the economics behind such cross-fund investments and investigate their financial stability implications. Using granular data for the German fund sector, our main findings are that cross-fund investments (a) are becoming increasingly important over time, (b) were heavily liquidated during March 2020, and (c) display measurable contagion effects. Overall, cross-fund investments can elevate structural fund sector vulnerabilities. Authors have furnished an , which is available on the Oxford University Press Web site next to the link to the final published paper online.