| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9906 |
| DP9906 Runs on Money Market Funds | |
| Henry Allan Timmermann; Russ Wermers | |
| 发表日期 | 2014-03-23 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We study daily money market mutual fund flows at the individual share class level during the crisis of September 2008. The empirical approach that we apply to this fine granularity of data brings new insights into the investor and portfolio holding characteristics that are conducive to run-risk in cash-like asset pools, as well as providing evidence on the time-series dynamics of runs and the equilibria that develop. We find that outflows during the crisis are concentrated among those money funds with higher promised yields, less liquid portfolios, low implicit sponsor backing, and higher prior flow volatility that cater to very large-scale institutional investors. Our data uniquely allows us to study the strategic redemption behavior of investors with differing levels of sophistication by studying flows to different share classes of the same money fund, thus holding constant the quality of the underlying portfolio. Our results are consistent with the most sophisticated (largest scale) institutional investors exhibiting the greatest level of strategic redemptions during the crisis, which created significant negative externalities for more passive institutional investors. |
| 主题 | Financial Economics |
| 关键词 | Bank runs Money market mutual funds Quantile regression Strategic complementarities |
| URL | https://cepr.org/publications/dp9906 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538740 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Russ Wermers. DP9906 Runs on Money Market Funds. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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