| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11895 |
| DP11895 Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis | |
| Henry Allan Timmermann; Russ Wermers | |
| 发表日期 | 2017-03-09 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Abstract We study investor redemptions and portfolio rebalancing decisions of money market mutual funds (MMFs) during the Eurozone crisis. We exploit the multiple shareclass structure of the MMF industry and the detailed portfolio holdings disclosure required by 2010 regulatory changes to highlight costs and benefits of increased transparency in short-term funding markets. Consistent with theoretical predictions of models featuring costly (and incomplete) information acquisition, investors with the lowest information acquisition costs are most responsive to cross-sectional heterogeneity in funds' exposures to Eurozone securities. Moreover, managers catering to these investors disproportionately shift their portfolios away from the riskiest and most information-sensitive securities. |
| 主题 | Financial Economics |
| 关键词 | Money market funds Eurozone crisis Financial fragility Endogenous information acquisition Transparency in short-term funding markets |
| URL | https://cepr.org/publications/dp11895 |
| 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/540707 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Russ Wermers. DP11895 Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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