Cost of monitoring and risk taking in the money market funds industry
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jfi.2022.101016
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- La Spada, Gabriele, 2018.
"Competition, reach for yield, and money market funds,"
Journal of Financial Economics, Elsevier, vol. 129(1), pages 87-110.
- Gabriele La Spada, 2015. "Competition, reach for yield, and money market funds," Staff Reports 753, Federal Reserve Bank of New York.
- Emily A Gallagher & Lawrence D W Schmidt & Allan Timmermann & Russ Wermers, 2020. "Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1445-1483.
- Bo Becker & Victoria Ivashina, 2015.
"Reaching for Yield in the Bond Market,"
Journal of Finance, American Finance Association, vol. 70(5), pages 1863-1902, October.
- Bo Becker & Victoria Ivashina, 2013. "Reaching for Yield in the Bond Market," NBER Working Papers 18909, National Bureau of Economic Research, Inc.
- Robin Greenwood & Annette Vissing-Jorgensen, 2018.
"The Impact of Pensions and Insurance on Global Yield Curves,"
Harvard Business School Working Papers
18-109, Harvard Business School, revised Dec 2018.
- Robin M. Greenwood & Annette Vissing-Jorgensen, 2019. "The Impact of Pensions and Insurance on Global Yield Curves," Swiss Finance Institute Research Paper Series 19-59, Swiss Finance Institute.
- Robin Greenwood & Dimitri Vayanos, 2014.
"Bond Supply and Excess Bond Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 663-713.
- Vayanos, Dimitri & Greenwood, Robin, 2008. "Bond Supply and Excess Bond Returns," CEPR Discussion Papers 6694, C.E.P.R. Discussion Papers.
- Greenwood, Robin & Vayanos, Dimitri, 2008. "Bond supply and excess bond returns," LSE Research Online Documents on Economics 24425, London School of Economics and Political Science, LSE Library.
- Dimitri Vayanos & Robin Greenwood, 2008. "Bond Supply and Excess Bond Returns," FMG Discussion Papers dp607, Financial Markets Group.
- Robin Greenwood & Dimitri Vayanos, 2008. "Bond Supply and Excess Bond Returns," NBER Working Papers 13806, National Bureau of Economic Research, Inc.
- Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian T., 2011. "Regulatory pressure and fire sales in the corporate bond market," Journal of Financial Economics, Elsevier, vol. 101(3), pages 596-620, September.
- Dion Bongaerts & K. J. Martijn Cremers & William N. Goetzmann, 2012.
"Tiebreaker: Certification and Multiple Credit Ratings,"
Journal of Finance, American Finance Association, vol. 67(1), pages 113-152, February.
- Dion Bongaerts & K.J. Martijn Cremers & William N. Goetzmann, 2009. "Tiebreaker: Certification and Multiple Credit Ratings," NBER Working Papers 15331, National Bureau of Economic Research, Inc.
- Di Maggio, Marco & Kacperczyk, Marcin, 2017.
"The unintended consequences of the zero lower bound policy,"
Journal of Financial Economics, Elsevier, vol. 123(1), pages 59-80.
- Marco Di Maggio & Marcin Kacperczyk, 2016. "The Unintended Consequences of the Zero Lower Bound Policy," NBER Working Papers 22351, National Bureau of Economic Research, Inc.
- Hirshleifer, David & Teoh, Siew Hong, 2003. "Limited attention, information disclosure, and financial reporting," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 337-386, December.
- Marco Cipriani & Gabriele La Spada, 2020.
"Sophisticated and Unsophisticated Runs,"
Staff Reports
956, Federal Reserve Bank of New York.
- Marco Cipriani & Gabriele La Spada, 2021. "Sophisticated and Unsophisticated Runs," Liberty Street Economics 20210602, Federal Reserve Bank of New York.
- David K. Musto, 1999. "Investment Decisions Depend on Portfolio Disclosures," Journal of Finance, American Finance Association, vol. 54(3), pages 935-952, June.
- Parlatore, Cecilia, 2016.
"Fragility in money market funds: Sponsor support and regulation,"
Journal of Financial Economics, Elsevier, vol. 121(3), pages 595-623.
- Parlatore, Cecilia, 2015. "Fragility in money marketfunds: sponsor support and regulation," Working Paper Series 1772, European Central Bank.
- Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013.
"Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961.
- Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011. "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers dp669, Financial Markets Group.
- Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," NBER Working Papers 18922, National Bureau of Economic Research, Inc.
- Vayanos, Dimitri & Guibaud, Stéphane & Nosbusch, Yves, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," CEPR Discussion Papers 9407, C.E.P.R. Discussion Papers.
- Guibaud, Stéphane & Nosbusch, Yves & Vayanos, Dimitri, 2011. "Bond market clienteles, the yield curve and the optimal maturity structure of government debt," LSE Research Online Documents on Economics 29785, London School of Economics and Political Science, LSE Library.
- Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," Post-Print hal-03399472, HAL.
- Andrew Caplin & Mark Dean, 2015.
"Revealed Preference, Rational Inattention, and Costly Information Acquisition,"
American Economic Review, American Economic Association, vol. 105(7), pages 2183-2203, July.
- Andrew Caplin & Mark Dean, 2014. "Revealed Preference, Rational Inattention, and Costly Information Acquisition," NBER Working Papers 19876, National Bureau of Economic Research, Inc.
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Darren J. Kisgen & Philip E. Strahan, 2010. "Do Regulations Based on Credit Ratings Affect a Firm's Cost of Capital?," The Review of Financial Studies, Society for Financial Studies, vol. 23(12), pages 4324-4347, December.
- Lawrence Schmidt & Allan Timmermann & Russ Wermers, 2016.
"Runs on Money Market Mutual Funds,"
American Economic Review, American Economic Association, vol. 106(9), pages 2625-2657, September.
- Wermers, Russ, 2012. "Runs on money market mutual funds," CFR Working Papers 12-05, University of Cologne, Centre for Financial Research (CFR).
- Schmidt, Lawrence & Timmermann, Allan & Wermers, Russ, 2014. "Runs on money market mutual funds," CFR Working Papers 12-05 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Li, Yi, 2021. "Reciprocal lending relationships in shadow banking," Journal of Financial Economics, Elsevier, vol. 141(2), pages 600-619.
- Sims, Christopher A., 2003. "Implications of rational inattention," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 665-690, April.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2004.
"How Much Should We Trust Differences-In-Differences Estimates?,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(1), pages 249-275.
- Marianne Bertrand & Esther Duflo & Sendhil Mullainathan, 2002. "How Much Should We Trust Differences-in-Differences Estimates?," NBER Working Papers 8841, National Bureau of Economic Research, Inc.
- Emily A Gallagher & Lawrence D W Schmidt & Allan Timmermann & Russ Wermers, 2020. "Investor Information Acquisition and Money Market Fund Risk Rebalancing during the 2011–2012 Eurozone Crisis," Review of Finance, European Finance Association, vol. 33(4), pages 1445-1483.
- Dan Covitz & Chris Downing, 2007. "Liquidity or Credit Risk? The Determinants of Very Short‐Term Corporate Yield Spreads," Journal of Finance, American Finance Association, vol. 62(5), pages 2303-2328, October.
- Jonathan B. Cohn & Stuart L. Gillan & Jay C. Hartzell, 2016. "On Enhancing Shareholder Control: A (Dodd-) Frank Assessment of Proxy Access," Journal of Finance, American Finance Association, vol. 71(4), pages 1623-1668, August.
- Gabriel Chodorow-Reich, 2014.
"Effects of Unconventional Monetary Policy on Financial Institutions,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 45(1 (Spring), pages 155-227.
- Gabriel Chodorow-Reich, "undated". "Effects of Unconventional Monetary Policy on Financial Institutions," Working Paper 156866, Harvard University OpenScholar.
- Gabriel Chodorow-Reich, 2014. "Effects of Unconventional Monetary Policy on Financial Institutions," NBER Working Papers 20230, National Bureau of Economic Research, Inc.
- Fracassi, Cesare & Petry, Stefan & Tate, Geoffrey, 2016. "Does rating analyst subjectivity affect corporate debt pricing?," Journal of Financial Economics, Elsevier, vol. 120(3), pages 514-538.
- Lugo, Stefano, 2021. "Short-term debt catering," Journal of Corporate Finance, Elsevier, vol. 66(C).
- Cipriani, Marco & La Spada, Gabriele, 2021.
"Investors’ appetite for money-like assets: The MMF industry after the 2014 regulatory reform,"
Journal of Financial Economics, Elsevier, vol. 140(1), pages 250-269.
- Cipriani, Marco & La Spada, Gabriele, 2020. "Investors' Appetite for Money-Like Assets: The MMF Industry after the 2014 Regulatory Reform," CEPR Discussion Papers 14375, C.E.P.R. Discussion Papers.
- Dimitrov, Valentin & Palia, Darius & Tang, Leo, 2015. "Impact of the Dodd-Frank act on credit ratings," Journal of Financial Economics, Elsevier, vol. 115(3), pages 505-520.
- Chen, Qi & Goldstein, Itay & Jiang, Wei, 2010. "Payoff complementarities and financial fragility: Evidence from mutual fund outflows," Journal of Financial Economics, Elsevier, vol. 97(2), pages 239-262, August.
- Huaizhi Chen & Lauren Cohen & Umit G. Gurun, 2021. "Don't Take Their Word for It: The Misclassification of Bond Mutual Funds," Journal of Finance, American Finance Association, vol. 76(4), pages 1699-1730, August.
- Jess Cornaggia & Kimberly J. Cornaggia & Ryan D. Israelsen, 2018. "Credit Ratings and the Cost of Municipal Financing," The Review of Financial Studies, Society for Financial Studies, vol. 31(6), pages 2038-2079.
- Marcin Kacperczyk & Philipp Schnabl, 2010.
"When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009,"
Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 29-50, Winter.
- Marcin Kacperczyk & Philipp Schnabl, 2009. "When Safe Proved Risky: Commercial Paper During the Financial Crisis of 2007-2009," NBER Working Papers 15538, National Bureau of Economic Research, Inc.
- Marcin Kacperczyk & Philipp Schnabl, 2013. "How Safe Are Money Market Funds?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 128(3), pages 1073-1122.
- Opp, Christian C. & Opp, Marcus M. & Harris, Milton, 2013. "Rating agencies in the face of regulation," Journal of Financial Economics, Elsevier, vol. 108(1), pages 46-61.
- Sergey Chernenko & Adi Sunderam, 2014. "Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1717-1750.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Fricke, Daniel & Greppmair, Stefan & Paludkiewicz, Karol, 2024. "You can’t always get what you want (where you want it): Cross-border effects of the US money market fund reform," Journal of International Economics, Elsevier, vol. 147(C).
- Li, Yi, 2021. "Reciprocal lending relationships in shadow banking," Journal of Financial Economics, Elsevier, vol. 141(2), pages 600-619.
- repec:zbw:bofrdp:2021_002 is not listed on IDEAS
- Lugo, Stefano, 2021. "Short-term debt catering," Journal of Corporate Finance, Elsevier, vol. 66(C).
- Aldasoro, Iñaki & Balke, Florian & Barth, Andreas & Eren, Egemen, 2022.
"Spillovers of funding dry-ups,"
Journal of International Economics, Elsevier, vol. 137(C).
- Aldasoro, Inaki & Balke, Florian & Barth, Andreas & Eren, Egemen, 2019. "Spillovers of funding dry-ups," SAFE Working Paper Series 259, Leibniz Institute for Financial Research SAFE.
- Iñaki Aldasoro & Florian Balke & Andreas Barth & Egemen Eren, 2019. "Spillovers of funding dry ups," BIS Working Papers 810, Bank for International Settlements.
- La Spada, Gabriele, 2018.
"Competition, reach for yield, and money market funds,"
Journal of Financial Economics, Elsevier, vol. 129(1), pages 87-110.
- Gabriele La Spada, 2015. "Competition, reach for yield, and money market funds," Staff Reports 753, Federal Reserve Bank of New York.
- Järvenpää, Maija & Paavola, Aleksi, 2021. "Investor monitoring, money-likeness and stability of money market funds," Research Discussion Papers 2/2021, Bank of Finland.
- Fricke, Daniel & Greppmair, Stefan & Paludkiewicz, Karol, 2022. "You can't always get what you want (where you want it): Cross-border effects of the US money market fund reform," Discussion Papers 03/2022, Deutsche Bundesbank.
- Kenechukwu E. Anadu & Pablo D. Azar & Catherine Huang & Marco Cipriani & Thomas M. Eisenbach & Gabriele La Spada & Mattia Landoni & Marco Macchiavelli & Antoine Malfroy-Camine & J. Christina Wang, 2023.
"Runs and Flights to Safety: Are Stablecoins the New Money Market Funds?,"
Staff Reports
1073, Federal Reserve Bank of New York.
- Kenechukwu E. Anadu & Pablo D. Azar & Catherine Huang & Marco Cipriani & Thomas M. Eisenbach & Gabriele La Spada & Mattia Landoni & Marco Macchiavelli & Antoine Malfroy-Camine & J. Christina Wang, 2023. "Runs and Flights to Safety: Are Stablecoins the New Money Market Funds?," Working Papers 23-11, Federal Reserve Bank of Boston.
- Kenechukwu E. Anadu & Pablo D. Azar & Catherine Huang & Marco Cipriani & Thomas M. Eisenbach & Gabriele La Spada & Mattia Landoni & Marco Macchiavelli & Antoine Malfroy-Camine & J. Christina Wang, 2023. "Runs and Flights to Safety: Are Stablecoins the New Money Market Funds?," Supervisory Research and Analysis Working Papers SRA 23-02, Federal Reserve Bank of Boston, revised 26 Mar 2024.
- Kim, Hugh Hoikwang, 2020. "Information spillover of bailouts," Journal of Financial Intermediation, Elsevier, vol. 43(C).
- Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020.
"Debt De-risking,"
BIS Working Papers
868, Bank for International Settlements.
- Parise, Gianpaolo & Cutura, Jannic & Schrimpf, Paul, 2020. "Debt De-risking," CEPR Discussion Papers 14817, C.E.P.R. Discussion Papers.
- Linardi, Fernando M., 2020. "Investors’ behavior and mutual fund portfolio allocations in Brazil during the global financial crisis," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
- Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.
- Huang, He & Svec, Jiri & Wu, Eliza, 2021. "The game changer: Regulatory reform and multiple credit ratings," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Anna Bayona & Oana Peia & Razvan Vlahu, 2023. "Credit Ratings and Investments," Working Papers 776, DNB.
- Emily Gallagher & Sean Collins, 2016. "Money Market Funds and the Prospect of a US Treasury Default," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-44, March.
- John Ammer & John Rogers & Gang Wang & Yang Yu, 2023. "Chinese Asset Managers’ Monetary Policy Forecasts and Fund Performance," Management Science, INFORMS, vol. 69(1), pages 598-616, January.
- Fernando M. Linardi, 2020. "Investors’ Behavior and Mutual Fund Portfolio Allocations in Brazil during the Global Financial Crisis," Working Papers Series 517, Central Bank of Brazil, Research Department.
- Cipriani, Marco & La Spada, Gabriele, 2021.
"Investors’ appetite for money-like assets: The MMF industry after the 2014 regulatory reform,"
Journal of Financial Economics, Elsevier, vol. 140(1), pages 250-269.
- Cipriani, Marco & La Spada, Gabriele, 2020. "Investors' Appetite for Money-Like Assets: The MMF Industry after the 2014 Regulatory Reform," CEPR Discussion Papers 14375, C.E.P.R. Discussion Papers.
- Stefano Lovo & Philippe Raimbourg & Federica Salvadè, 2022.
"Credit rating agencies, information asymmetry and US bond liquidity,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(9-10), pages 1863-1896, October.
- Stefano Lovo & Philippe Raimbourg & Federica Salvadè, 2022. "Credit Rating Agencies, Information Asymmetry and US Bond Liquidity," Working Papers hal-03890565, HAL.
- Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.
More about this item
Keywords
Money market mutual funds; Information acquisition; Rating-based regulation; Commercial paper; Clientele effects;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Statistics
Access and download statisticsCorrections
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:eee:jfinin:v:53:y:2023:i:c:s1042957322000699. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/622875 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.