Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

• 成果类型: Article
• 署名作者: Ma, Yiming; Xiao, Kairong; Zeng, Yao
• 署名单位: University of Pennsylvania
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac007
• 发表日期: 2022
• 页码: 4674
• 关键词: bond; fragility; CRISIS; FLOWS; RISK

摘要

We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in liquid asset markets during the COVID-19 crisis. We show that mutual funds experienced pronounced investor outflows amplified by their liquidity transformation. In meeting redemptions, funds followed a pecking order by first selling their liquid assets, including Treasuries and high-quality corporate bonds, which generated the most concentrated selling pressure in these markets. Overall, the estimated price impact of mutual funds was sizable at a third of the increase in Treasury yields and a quarter of the increase in corporate bond yields during the COVID-19 crisis.