Erschienen:
Cambridge, Mass: National Bureau of Economic Research, 2018
Erschienen in:NBER working paper series ; no. w25104
Umfang:
1 Online-Ressource; illustrations (black and white)
Sprache:
Englisch
DOI:
10.3386/w25104
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
System requirements: Adobe [Acrobat] Reader required for PDF files
Mode of access: World Wide Web
Beschreibung:
We develop three novel measures of how much of the price impact of their trading different mutual funds internalize. We show that mutual funds that internalize more of their price impact hold larger cash buffers and use these buffers more aggressively to accommodate inflows and outflows. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the mutual fund industry