Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market
成果类型：
Article
署名作者：
Jiang, Hao; Li, Yi; Sun, Zheng; Wang, Ashley
署名单位：
Michigan State University; Michigan State University's Broad College of Business; Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Irvine
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2021.05.022
发表日期：
2022
页码：
277-302
关键词：
摘要：
Open-end corporate bond mutual funds invest in illiquid assets while providing liquid claims to shareholders. Does such liquidity transformation introduce fragility to the corporate bond market? To address this question, we create a novel bond-level latent fragility measure based on asset illiquidity of mutual funds holding the bond. We find that corporate bonds bearing higher fragility subsequently experience higher return volatility and more outflows-induced mutual fund selling over the period of 2006-2019. Using the COVID-19 crisis as a natural experiment, we find that bonds with higher precrisis fragility experienced more negative returns and larger reversals around March 2020. (C) 2021 Elsevier B.V. All rights reserved.