全球智库信息集成服务系统(G2TT): Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22391
来源ID	Working Paper 22391
	Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds
	Sergey Chernenko; Adi Sunderam
发表日期	2016-07-11
出版年	2016
语种	英语
摘要	We study liquidity transformation in mutual funds using a novel data set on their cash holdings. To provide investors with claims that are more liquid than the underlying assets, funds engage in substantial liquidity management. Specifically, they hold substantial amounts of cash, which they use to accommodate inflows and outflows rather than transacting in the underlying portfolio assets. This is particularly true for funds with illiquid assets and at times of low market liquidity. We provide evidence suggesting that mutual funds’ cash holdings are not large enough to fully mitigate price impact externalities created by the liquidity transformation they engage in.
主题	Financial Economics ; Financial Institutions
URL	https://www.nber.org/papers/w22391
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/580064
推荐引用方式 GB/T 7714	Sergey Chernenko,Adi Sunderam. Liquidity Transformation in Asset Management: Evidence from the Cash Holdings of Mutual Funds. 2016.