Corporate bond mutual funds and asset fire sales

• 成果类型: Article
• 署名作者: Choi, Jaewon; Hoseinzade, Saeid; Shin, Sean Seunghun; Tehranian, Hassan
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; Yonsei University; Suffolk University; Aalto University; Boston College
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.05.006
• 发表日期: 2020
• 页码: 432-457
• 关键词: Corporate bond mutual funds; Liquidity management; ASSET FIRE SALES

摘要

Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policy makers that large redemptions will lead to asset fire sales. We find little evidence, however, that bond fund redemptions drive fire sale price pressure after controlling for time-varying issuer-level information that could also affect funds' trading decisions, using a novel identification strategy that exploits same-issuer bonds held by funds with differing outflows. We attribute our findings, which contrast with those found for equity funds, to funds' liquidity management strategies. Bond funds maintain signifi-cant liquidity cushions and selectively trade liquid assets, allowing them to absorb investor redemption risk without excessively liquidating corporate bonds, even during the 2008 financial crisis. (C) 2020 Elsevier B.V. All rights reserved.