Bond Price Fragility and the Structure of the Mutual Fund Industry

• 成果类型: Article
• 署名作者: Giannetti, Mariassunta; Jotikasthira, Chotibhak
• 署名单位: Stockholm School of Economics; Southern Methodist University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhad095
• 发表日期: 2023
• 页码: 2063
• 关键词: institutional investors; corporate; liquidity; CRISIS; illiquidity; COSTS; FLOWS; RISK

摘要

We conjecture that mutual funds with large shares of outstanding bond issues are more inclined to internalize the negative price spillovers of fire sales and thus sell their holdings in those issues, to a lower extent, when they experience redemptions. We provide evidence consistent with this conjecture and further show that ownership concentration limits bonds' exposures to flow-induced fire sales. We exploit variation in negative spillovers arising from the Fed's SMCCF to confirm the economic mechanism and explore our findings' implications for fund performance and fire-sale spillovers to other funds.