Debt Derisking

• 成果类型: Article
• 署名作者: Cutura, Jannic; Parise, Gianpaolo; Schrimpf, Andreas
• 署名单位: European Central Bank; Universite Catholique de Lille; EDHEC Business School; Bank for International Settlements (BIS)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.03406
• 发表日期: 2025
• 关键词: mutual funds; incentives; derisking; fragility; bond liquidity; Financial institutions; INVESTMENT; finance; portfolio; MARKETS

摘要

We examine how corporate bond fund managers manipulate portfolio risk in response to incentives. We find that liquidity risk concerns drive the allocation decisions of underperforming funds, whereas tournament incentives are of secondary importance. This leads laggard fund managers to trade off yield for liquidity while holding the exposure to other sources of risk constant. The documented derisking is stronger for managers with shorter tenure and is reinforced by a more concave flow to performance sensitivity and by periods of market stress. Derisking meaningfully supports ex post laggard fund returns. Flexible net asset values (swing pricing) may, however, reduce derisking incentives and create moral hazard.