IDEAS home Printed from https://ideas.repec.org/a/cai/finpug/fina_422_0081.html
   My bibliography  Save this article

Bond Fund Fragility: Flow Reactions to Extremely Negative Return Shocks

Author

Listed:
  • Raphaëlle Bellando
  • Laura-Dona Capotă
  • Sébastien Galanti

Abstract

We study the relationship between French bond mutual fund returns and their flows to assess whether mutual funds can generate financial instability. We show that mutual funds that present very negative short-term returns experience greater outflows than other funds (this effect appears at the bottom negative return quintile). Furthermore, regardless of the mutual funds? returns, investors seem to redeem more during periods of financial stress. Additional results show that for institutional investors, the nonlinear effect appears more frequently, starting from the second quintile of negative returns. This confirms the fragility stemming from negative shocks to bond mutual funds.

Suggested Citation

  • Raphaëlle Bellando & Laura-Dona Capotă & Sébastien Galanti, 2021. "Bond Fund Fragility: Flow Reactions to Extremely Negative Return Shocks," Finance, Presses universitaires de Grenoble, vol. 42(2), pages 81-115.
    • Handle: RePEc:cai:finpug:fina_422_0081
    as

    Download full text from publisher

    File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=FINA_422_0081
    Download Restriction: restricted
    File URL: http://www.cairn.info/revue-finance-2021-2-page-81.htm
    Download Restriction: restricted
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cai:finpug:fina_422_0081. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Jean-Baptiste de Vathaire (email available below). General contact details of provider: https://www.cairn.info/revue-finance.htm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.