Debt Derisking

References

• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5:31–56.Crossref, Google Scholar
• Anton M, Polk C (2014) Connected stocks. J. Finance 69:1099–1127.Crossref, Google Scholar
• Barbu A, Fricke C, Moench E (2016) Reach for yield in investment funds. Deutsche Bundesbank working paper, Frankfurt, Germany.Google Scholar
• Becker B, Ivashina V (2015) Reaching for yield in the bond market. J. Finance 70:1863–1902.Crossref, Google Scholar
• Bernardo AE, Welch I (2004) Liquidity and financial market runs. Quart. J. Econom. 119:135–158.Crossref, Google Scholar
• Bhattacharya U, Lee JH, Pool VK (2013) Conflicting family values in mutual fund families. J. Finance 68:173–200.Crossref, Google Scholar
• Blake CR, Elton EJ, Gruber MJ (1993) The performance of bond mutual funds. J. Bus. 66:371–403.Crossref, Google Scholar
• Brown KC, Van Harlow W, Starks LT (1996) Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. J. Finance 51:85–110.Crossref, Google Scholar
• Capponi A, Glasserman P, Weber M (2020) Swing pricing for mutual funds: Breaking the feedback loop between fire sales and fund redemptions. Management Sci. 66:3581–3602.Link, Google Scholar
• Carhart MM, Kaniel R, Musto DK, Reed AV (2002) Leaning for the tape: Evidence of gaming behavior in equity mutual funds. J. Finance 57:661–693.Crossref, Google Scholar
• Chen Y, Qin N (2017) The behavior of investor flows in corporate bond mutual funds. Management Sci. 63:1365–1381.Link, Google Scholar
• Chen H, Cohen L, Gurun UG (2021) Don’t take their word for it: The misclassification of bond mutual funds. J. Finance 76:1699–1730.Crossref, Google Scholar
• Chen Q, Goldstein I, Jiang W (2010) Payoff complementarities and financial fragility: Evidence from mutual fund outflows. J. Financial Econom. 97:239–262.Crossref, Google Scholar
• Chernenko S, Sunderam A (2020) Do fire sales create externalities? J. Financial Econom. 135:602–628.Crossref, Google Scholar
• Chevalier J, Ellison G (1997) Risk taking by mutual funds as a response to incentives. J. Political Econom. 105:1167–1200.Crossref, Google Scholar
• Choi J, Kronlund M (2018) Reaching for yield in corporate bond mutual funds. Rev. Financial Stud. 31:1930–1965.Crossref, Google Scholar
• Choi J, Hoseinzade S, Shin SS, Tehranian H (2020) Corporate bond mutual funds and asset fire sales. J. Financial Econom. 138:432–457.Crossref, Google Scholar
• Christoffersen SK, Keim DB, Musto DK (2018) Valuable information and costly liquidity: Evidence from individual mutual fund trades. Working paper, University of Toronto, Toronto.Google Scholar
• Clare A, O’Sullivan N, Sherman M, Zhu S (2019) The performance of US bond mutual funds. Internat. Rev. Financial Anal. 61:1–8.Crossref, Google Scholar
• Coval J, Stafford E (2007) Asset fire sales (and purchases) in equity markets. J. Financial Econom. 86:479–512.Crossref, Google Scholar
• Curcuru SE, Thomas CP, Warnock F, Wongswan J (2011) US international equity investment and past and prospective returns. Amer. Econom. Rev. 101:3440–3455.Crossref, Google Scholar
• Dang TD, Hollstein F, Prokopczuk M (2022) How do corporate bond investors measure performance? Evidence from mutual fund flows. J. Banking Finance 142:106553.Crossref, Google Scholar
• Di Maggio M, Kacperczyk M (2017) The unintended consequences of the zero lower bound policy. J. Financial Econom. 123:59–80.Crossref, Google Scholar
• Diamond DW, Dybvig PH (1983) Bank runs, deposit insurance, and liquidity. J. Political Econom. 91:401–419.Crossref, Google Scholar
• Eisele A, Nefedova T, Parise G, Peijnenburg K (2020) Trading out of sight: An analysis of cross-trading in mutual fund families. J. Financial Econom. 135:359–378.Crossref, Google Scholar
• ESMA (2020) Recommendation of the European Systemic Risk Board (ESRB) on liquidity risk in investment funds. Report No. ESMA34-39-1119, Frankfurt, Germany.Google Scholar
• Evans RB, Prado MP, Zambrana R (2020) Competition and cooperation in mutual fund families. J. Financial Econom. 136:168–188.Crossref, Google Scholar
• Goldstein I, Jiang H, Ng DT (2017) Investor flows and fragility in corporate bond funds. J. Financial Econom. 126:592–613.Crossref, Google Scholar
• Greenwood R, Nagel S (2009) Inexperienced investors and bubbles. J. Financial Econom. 93:239–258.Crossref, Google Scholar
• Greenwood R, Thesmar D (2011) Stock price fragility. J. Financial Econom. 102:471–490.Crossref, Google Scholar
• Hand JRM, Holthausen RW, Leftwich RW (1992) The effect of bond rating agency announcements on bond and stock prices. J. Finance 47:733–752.Crossref, Google Scholar
• Hau H, Lai S (2016) Asset allocation and monetary policy: Evidence from the eurozone. J. Financial Econom. 120:309–329.Crossref, Google Scholar
• Huang J, Sialm C, Zhang H (2011) Risk shifting and mutual fund performance. Rev. Financial Stud. 24:2575–2616.Crossref, Google Scholar
• Ippolito RA (1992) Consumer reaction to measures of poor quality: Evidence from the mutual fund industry. J. Law Econom. 35:45–70.Crossref, Google Scholar
• Jiang H, Li D, Wang A (2021) Dynamic liquidity management by corporate bond mutual funds. J. Financial Quant. Anal. 56:1622–1652.Crossref, Google Scholar
• Jiang H, Li Y, Sun Z, Wang A (2022) Does mutual fund illiquidity introduce fragility into asset prices? Evidence from the corporate bond market. J. Financial Econom. 143:277–302.Crossref, Google Scholar
• Jin D, Kacperczyk M, Kahraman B, Suntheim F (2022) Swing pricing and fragility in open-end mutual funds. Rev. Financial Stud. 35:1–50.Crossref, Google Scholar
• Kacperczyk M, Schnabl P (2013) How safe are money market funds? Quart. J. Econom. 128:1073–1122.Crossref, Google Scholar
• Kempf A, Ruenzi S (2008) Tournaments in mutual fund families. Rev. Financial Stud. 21:1013–1036.Crossref, Google Scholar
• Khwaja AI, Mian A (2008) Tracing the impact of bank liquidity shocks: Evidence from an emerging market. Amer. Econom. Rev. 98:1413–1442.Crossref, Google Scholar
• Lawrence S, Timmermann A, Wermers R (2016) Runs on money market mutual funds. Amer. Econom. Rev. 106:2625–2657.Crossref, Google Scholar
• Lewrick U, Schanz JF (2017) Is the price right? Swing pricing and investor redemptions. BIS working paper, Bank for International Settlements, Basel, Switzerland.Google Scholar
• Ma L, Tang Y, Gómez J-P (2019) Portfolio manager compensation in the U.S. mutual fund industry. J. Finance 74:587–638.Crossref, Google Scholar
• Ma Y, Xiao K, Zeng Y (2024) Mutual fund liquidity transformation and reverse flight to liquidity. Forthcoming in the Review of Financial Studies.Google Scholar
• Manconi A, Massa M, Yasuda A (2012) The role of institutional investors in propagating the crisis of 2007–2008. J. Financial Econom. 104:491–518.Crossref, Google Scholar
• Massa M, Yasuda A, Zhang L (2013) Supply uncertainty of the bond investor base and the leverage of the firm. J. Financial Econom. 110:185–214.Crossref, Google Scholar
• Morris S, Shim I, Shin HS (2017) Redemption risk and cash hoarding by asset managers. J. Monetary Econom. 89:71–87.Crossref, Google Scholar
• Roll R (1984) A simple implicit measure of the effective bid-ask spread in an efficient market. J. Finance 39:1127–1139.Crossref, Google Scholar
• Schmidt D (2019) Distracted institutional investors. J. Financial Quant. Anal. 54:2453–2491.Crossref, Google Scholar
• Schwarz CG (2011) Mutual fund tournaments: The sorting bias and new evidence. Rev. Financial Stud. 25:913–936.Crossref, Google Scholar
• Sirri ER, Tufano P (1998) Costly search and mutual fund flows. J. Finance 53:1589–1622.Crossref, Google Scholar
• Spiegel M, Zhang H (2013) Mutual fund risk and market share-adjusted fund flows. J. Financial Econom. 108:506–528.Crossref, Google Scholar
• Zeng Y (2017) A dynamic theory of mutual fund runs and liquidity management. Working paper, University of Pennsylvania - The Wharton School, Philadelphia.Google Scholar