Active Liquidity Management, Strategic Complementarities, and Market Price of Liquidity

• 成果类型: Article; Early Access
• 署名作者: Rzeznik, Aleksandra
• 署名单位: York University - Canada
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.02095
• 发表日期: 2025
• 关键词: MARKET UNCERTAINTY; Financial crisis; liquidity; flight-to-liquidity; Mutual funds; institutional investors; PRICE PRESSURE; systematic risk; strategic complementarities

摘要

This paper examines how market uncertainty impacts the liquidity premium through a demand-side channel. I find that equity mutual funds actively increase the liquidity of their portfolios in response to increased redemptions during market stress. Liquidity preservation is more intense for funds more exposed to strategic complementarities. I show that a stock's relative illiquidity within a fund's portfolio is a key determinant in flow-induced rebalancing decisions, whereby funds follow a liquidation pecking order. This flight-toliquidity is associated with increases in the liquidity premium and affects individual stocks' reversal performance: Stocks held by more fragile funds and those with higher illiquidity ranks within funds' portfolios experience greater returns to liquidity provision during market stress.