| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14817 |
| DP14817 Debt De-risking | |
| Jannic Cutura; Gianpaolo Parise; Paul Schrimpf | |
| 发表日期 | 2020-05-27 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. We find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading-off higher yields for more liquid and safer assets. De-risking is stronger for laggard funds that have a more concave sensitivity of flows-to-performance, in periods of market stress, and when bond yields are high. We provide evidence that debt de-risking also reduces ex post liquidation costs by mitigating the investors' incentive to run ex ante. We argue that, in the presence of de-risking behaviors, flexible NAVs (swing pricing) may be counter-productive and induce moral hazard. |
| 主题 | Financial Economics |
| 关键词 | De-risking Mutual funds Bonds Liquidity Swing pricing Tournaments |
| URL | https://cepr.org/publications/dp14817 |
| 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/543750 |
| 推荐引用方式 GB/T 7714 | Jannic Cutura,Gianpaolo Parise,Paul Schrimpf. DP14817 Debt De-risking. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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