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Redemption risk and cash hoarding by asset managers

Citations

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As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Liquidity Transformation and Open-end Funds
    by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-02-20 18:14:26

Citations

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Cited by:

  1. Calimani, Susanna & Hałaj, Grzegorz & Żochowski, Dawid, 2022. "Simulating fire sales in a system of banks and asset managers," Journal of Banking & Finance, Elsevier, vol. 138(C).
  2. Thiago Fauvrelle & Mathias Skrutkowski, 2023. "Collateral pledgeability and asset manager portfolio choices during redemption waves," Working Papers 58, European Stability Mechanism, revised 12 Dec 2023.
  3. Antonio Falato & Itay Goldstein & Ali Hortaçsu, 2020. "Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets," Working Papers 2020-98, Becker Friedman Institute for Research In Economics.
  4. Christos Argyropoulos & Bertrand Candelon & Jean‐Baptiste Hasse & Ekaterini Panopoulou, 2024. "Towards a macroprudential regulatory framework for mutual funds?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3063-3082, July.
  5. Wang, Teng, 2021. "Local banks and the effects of oil price shocks," Journal of Banking & Finance, Elsevier, vol. 125(C).
  6. Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Burned by leverage? Flows and fragility in bond mutual funds," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 354-380.
  7. Goldstein, Itay, 2017. "Comment on “Redemption risk and cash hoarding by asset managers” by Morris, Shim, and Shin," Journal of Monetary Economics, Elsevier, vol. 89(C), pages 88-91.
  8. Ulf Lewrick & Jochen Schanz, 2017. "Is the price right? Swing pricing and investor redemptions," BIS Working Papers 664, Bank for International Settlements.
  9. Dekker, Lennart, 2024. "Essays on asset liquidity and investment funds," Other publications TiSEM 5fc9bf77-84e7-4a36-9e3a-1, Tilburg University, School of Economics and Management.
  10. Agostino Capponi & Paul Glasserman & Marko Weber, 2020. "Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions," Management Science, INFORMS, vol. 66(8), pages 3581-3602, August.
  11. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
  12. Dekker, Lennart & Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2023. "Liquidity buffers and open-end investment funds: containing outflows and reducing fire sales," Working Paper Series 2825, European Central Bank.
  13. Jimmy Shek & Ilhyock Shim & Hyun Song Shin, 2018. "Investor Redemptions and Fund Manager Sales of Emerging Market Bonds: How Are They Related? [Borrow cheap, buy high? The determinants of leverage and pricing in buyouts]," Review of Finance, European Finance Association, vol. 22(1), pages 207-241.
  14. Mirza, Harun & Moccero, Diego & Palligkinis, Spyros & Pancaro, Cosimo, 2020. "Fire sales by euro area banks and funds: What is their asset price impact?," Economic Modelling, Elsevier, vol. 93(C), pages 430-444.
  15. Milan Szabo, 2022. "Meeting investor outflows in Czech bond and equity funds: horizontal or vertical?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(4), pages 1123-1151, November.
  16. Koenig, Philipp J. & Pothier, David, 2022. "Safe but fragile: Information acquisition, liquidity support and redemption runs," Journal of Financial Intermediation, Elsevier, vol. 52(C).
  17. Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2018. "Determinants of equity mutual fund flows – Evidence from the fund flow dynamics between Hong Kong and global markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 231-247.
  18. Wang, Hu & Li, Shouwei & Ma, Yuyin & Jiang, Shuyang, 2022. "Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  19. Dunne, Peter & Emter, Lorenz & Fecht, Falko & Giuliana, Raffaele & Peia, Oana, 2023. "Financial fragility in open-ended mutual funds: the role of liquidity management tools," ESRB Working Paper Series 140, European Systemic Risk Board.
  20. Grill, Michael & Molestina Vivar, Luis & Wedow, Michael, 2022. "Mutual fund suspensions during the COVID-19 market turmoil - asset liquidity, liquidity management tools and spillover effects," Finance Research Letters, Elsevier, vol. 50(C).
  21. David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
  22. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," CEPR Discussion Papers 18122, C.E.P.R. Discussion Papers.
  23. Falato, Antonio & Goldstein, Itay & Hortaçsu, Ali, 2021. "Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 35-52.
  24. Brandao-Marques, Luis & Gelos, Gaston & Ichiue, Hibiki & Oura, Hiroko, 2022. "Changes in the global investor base and the stability of portfolio flows to emerging markets," Journal of Banking & Finance, Elsevier, vol. 144(C).
  25. Sirio Aramonte & Andreas Schrimpf & Hyun Song Shin, 2023. "Non-bank financial intermediaries and financial stability," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 7, pages 147-170, Edward Elgar Publishing.
  26. Fauvrelle, Thiago & Riedel, Max & Skrutkowski, Mathias, 2024. "Collateral pledgeability and asset manager portfolio choices during redemption waves," SAFE Working Paper Series 417, Leibniz Institute for Financial Research SAFE.
  27. di Iasio, Giovanni & Kaufmann, Christoph & Wicknig, Florian, 2022. "Macroprudential regulation of investment funds," Working Paper Series 2695, European Central Bank.
  28. Teng Wang, 2020. "Branching Networks and Geographic Contagion of Commodity Price Shocks," Finance and Economics Discussion Series 2020-034, Board of Governors of the Federal Reserve System (U.S.).
  29. Ahnert, Toni & Elamin, Mahmoud, 2020. "Bank runs, portfolio choice, and liquidity provision," Journal of Financial Stability, Elsevier, vol. 50(C).
  30. Dunhong Jin & Marcin Kacperczyk & Bige Kahraman & Felix Suntheim, 2022. "Swing Pricing and Fragility in Open-End Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 35(1), pages 1-50.
  31. David Ng & Ilhyock Shim & Jose Maria Vidal Pastor, 2019. "The role of different institutional investors in Asia-Pacific bond markets during the taper tantrum," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 113-142, Bank for International Settlements.
  32. Abbas Hejri, 2022. "On the recent developments of mutual funds with fixed‐income holdings: a systematic review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(2), pages 2313-2338, June.
  33. Mariassunta Giannetti & Chotibhak Jotikasthira, 2024. "Bond Price Fragility and the Structure of the Mutual Fund Industry," The Review of Financial Studies, Society for Financial Studies, vol. 37(7), pages 2063-2109.
  34. Allaire, Nolwenn & Breckenfelder, Johannes & Hoerova, Marie, 2023. "Fund fragility: the role of investor base," Working Paper Series 2874, European Central Bank.
  35. Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
  36. Robin Koepke & Simon Paetzold, 2024. "Capital flow data—A guide for empirical analysis and real‐time tracking," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 311-331, January.
  37. di Iasio, Giovanni & Kryczka, Dominika, 2021. "Market failures in market-based finance," Working Paper Series 2545, European Central Bank.
  38. Vladyslav Sushko & Grant Turner, 2018. "The implications of passive investing for securities markets," BIS Quarterly Review, Bank for International Settlements, March.
  39. Thierry Roncalli, 2021. "Liquidity Stress Testing in Asset Management -- Part 3. Managing the Asset-Liability Liquidity Risk," Papers 2110.01302, arXiv.org.
  40. Bush Georgia & Cañón Salazar Carlos Iván & Gray Daniel, 2021. "Emerging market capital flows the role of fund manager portfolio allocation," Working Papers 2021-13, Banco de México.
  41. Agostino Capponi & Paul Glasserman & Marko Weber, 2018. "Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Runs," Working Papers 18-04, Office of Financial Research, US Department of the Treasury.
  42. Stijn Claessens & Ulf Lewrick, 2022. "Open-ended bond funds: Systemic risks and policy implications," Aussenwirtschaft, University of St. Gallen, School of Economics and Political Science, Swiss Institute for International Economics and Applied Economics Research, vol. 72(01), pages 45-62, December.
  43. Calimani, Susanna & Hałaj, Grzegorz & Żochowski, Dawid, 2017. "Simulating fire-sales in a banking and shadow banking system," ESRB Working Paper Series 46, European Systemic Risk Board.
  44. Sunaryo Sunaryo & Alvia Santoni & Endri Endri & Muhammad Nusjirwan Harahap, 2020. "Determinants of Capital Adequacy Ratio for Pension Funds: A Case Study in Indonesia," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(4), pages 203-213, July.
  45. Nicola Branzoli & Giovanni Guazzarotti, 2017. "Liquidity transformation and financial stability: evidence from the cash management of open-end Italian mutual funds," Temi di discussione (Economic working papers) 1113, Bank of Italy, Economic Research and International Relations Area.
  46. Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020. "Debt De-risking," BIS Working Papers 868, Bank for International Settlements.
  47. Carol Bertaut & Valentina Bruno & Hyun Song Shin, 2023. "Original sin redux: role of duration risk," BIS Working Papers 1109, Bank for International Settlements.
  48. Shui-Tang Wu, Gabriel & Ho-Yeung Wong, Joe & Pak-Wing Fong, Tom, 2024. "Does swing pricing reduce investment funds’ liquidity risk in times of market stress? – Evidence from the March-2020 episode," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  49. Yoshihiko Hogen & Yoshiyasu Koide & Yuji Shinozaki, 2022. "Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks," Bank of Japan Working Paper Series 22-E-14, Bank of Japan.
  50. Jeffrey Meli & Zornitsa Todorova, 2023. "Credit ETFs in Mutual Funds and Corporate Bond Liquidity," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 32(3), pages 89-114, August.
  51. Weth, Mark Andreas & Dötz, Niko, 2019. "Redemptions and Asset Liquidations in Corporate Bond Funds," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203542, Verein für Socialpolitik / German Economic Association.
  52. Aikman, David & Haldane, Andrew & Hinterschweiger, Marc & Kapadia, Sujit, 2018. "Rethinking financial stability," Bank of England working papers 712, Bank of England.
  53. Ferriani, Fabrizio, 2021. "From taper tantrum to Covid-19: Portfolio flows to emerging markets in periods of stress," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  54. Takahashi, Hidenori & Yamada, Kazuo, 2021. "When the Japanese stock market meets COVID-19: Impact of ownership, China and US exposure, and ESG channels," International Review of Financial Analysis, Elsevier, vol. 74(C).
  55. Hałaj, Grzegorz, 2018. "System-wide implications of funding risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1151-1181.
  56. Rohan Arora & Guillaume Bédard-Pagé & Guillaume Ouellet Leblanc & Ryan Shotlander, 2019. "Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach," Technical Reports 115, Bank of Canada.
  57. Dekker, Lennart & Molestina Vivar, Luis & Wedow, Michael & Weistroffer, Christian, 2024. "Liquidity buffers and open-end investment funds: Containing outflows or reducing fire sales?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  58. Carlos Cantú & Michael Chui, 2020. "Financial market development and financial stability," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial market development, monetary policy and financial stability in emerging market economies, volume 113, pages 19-38, Bank for International Settlements.
  59. Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series 2021-038, Board of Governors of the Federal Reserve System (U.S.).
  60. Voellmy, Lukas, 2024. "Preventing runs under sequential revelation of liquidity needs," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  61. Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2022. "Do long-term institutional investors contribute to financial stability? – Evidence from equity investment in Hong Kong and international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  62. Johan Sulaeman, 2019. "Comments on "The role of different institutional investors in Asia-Pacific bond markets during the taper tantrum"," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 143-145, Bank for International Settlements.
  63. Dötz, Niko & Weth, Mark, 2019. "Redemptions and asset liquidations in corporate bond funds," Discussion Papers 11/2019, Deutsche Bundesbank.
  64. Bank for International Settlements, 2019. "Asia-Pacific fixed income markets: evolving structure, participation and pricing," BIS Papers, Bank for International Settlements, number 102, October –.
  65. Giuzio, Margherita & Kaufmann, Christoph & Ryan, Ellen & Cappiello, Lorenzo, 2021. "Investment funds, risk-taking, and monetary policy in the euro area," Working Paper Series 2605, European Central Bank.
  66. Joe‐Ming Lee, 2021. "Regime switching dynamics in mutual fund cash holdings, risk, and size threshold effect," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2832-2845, April.
  67. L. Deidda & E. Panetti, 2024. "Bank Recovery and Resolution Planning, Liquidity Management and Fragility," Working Paper CRENoS 202420, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  68. Leung, David Wing Yu & Wong, Joe Ho-Yeung & Fong, Tom Pak-Wing, 2024. "Run risks of cash-redeemable ETFs," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
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