Published in:Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, 2020
Extent:
1 Online-Ressource (66 p)
Language:
English
DOI:
10.2139/ssrn.3640861
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 29, 2020 erstellt
Description:
We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in liquid asset markets during the Covid-19 crisis. We show that mutual fund liquidity transformation led to pronounced investor outflows. In meeting redemptions, funds followed a pecking order by first selling their liquid assets, including Treasuries and high-quality corporate bonds, which generated the most concentrated selling pressure in these markets. The Fed's announced purchase of illiquid securities effectively stabilized mutual fund liquidity transformation and alleviated the selling pressure in liquid asset markets