Commonality in Liquidity: A Demand-Side Explanation

• 成果类型: Article
• 署名作者: Koch, Andrew; Ruenzi, Stefan; Starks, Laura
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Mannheim; University of Texas System; University of Texas Austin
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw026
• 发表日期: 2016
• 页码: 1943
• 关键词: MUTUAL FUND PERFORMANCE; cross-section; stock returns; IMPACT; price; RISK; size; illiquidity; momentum; FLOWS

摘要

We hypothesize that a source of commonality in a stock's liquidity arises from the correlated liquidity demand of the stock's investors. Focusing on correlated trading of mutual funds, we find that stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the channels for these comovements derive from both common ownership across funds and funds' correlated liquidity shocks. We obtain inferences supporting causality from an exogenous flow shock for mutual funds in the aftermath of the 2003 mutual fund scandal.