| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14134 |
| DP14134 Bond Funds and Credit Risk | |
| Jaewon Choi; Amil Dasgupta; Ji Yeol Jimmy Oh | |
| 发表日期 | 2019-11-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We show that supply side effects arising from the bond holdings of open-end mutual funds affect corporate credit risk through a refinancing channel. In our framework, bond funds exposed to flow-performance relationships become excessively reluctant to refinance bonds of companies with poor cash flow prospects. This lowers refinancing prices, enhancing incentives for strategic default, thus engendering a positive association between bond funds’ presence and credit risk. Empirically, we find that firms with a large share of mutual fund holdings experience increases in CDS spreads, particularly for funds that are more sensitive to flows. We address potential endogeneity issues by using fund acquisitions as exogenous shocks to funds’ flow concerns. |
| 主题 | Financial Economics |
| 关键词 | Fund flows Flow fragility Career concerns Bond rollover Default-liquidity loop |
| URL | https://cepr.org/publications/dp14134 |
| 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/543023 |
| 推荐引用方式 GB/T 7714 | Jaewon Choi,Amil Dasgupta,Ji Yeol Jimmy Oh. DP14134 Bond Funds and Credit Risk. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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