Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011-2012 Eurozone Crisis

• 成果类型: Article
• 署名作者: Gallagher, Emily A.; Schmidt, Lawrence D. W.; Timmermann, Allan; Wermers, Russ
• 署名单位: University of Colorado System; University of Colorado Boulder; Massachusetts Institute of Technology (MIT); University of California System; University of California San Diego; University System of Maryland; University of Maryland College Park
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz071
• 发表日期: 2020
• 页码: 1445
• 关键词: credit risk; liquidity; safe; securities; attention; runs

摘要

We study investor redemptions and portfolio rebalancing decisions of prime money market mutual funds (MMFs) during the Eurozone crisis. We find that sophisticated investors selectively acquire information about MMFs' risk exposures to Europe, which leads managers to withdraw funding from information-sensitive European issuers. That is, MMF managers, particularly those serving the most sophisticated investors, selectively adjust their portfolio risk exposures to avoid information-sensitive European risks, while maintaining or increasing risk exposures to other regions. This mechanism helps to explain the occurrence of selective dry-ups in debt markets where delegation is common and returns to information production are usually low.