Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

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 funds experienced pronounced investor outflows amplified by their liquidity transformation. In meeting redemptions, funds f...

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Bibliographic Details
Published in:The Review of financial studies 2022-10, Vol.35 (10), p.4674-4711
Main Authors: Ma, Yiming, Xiao, Kairong, Zeng, Yao
Format: Article
Language:English
Subjects:
Assets
Bonds
Corporate bonds
COVID-19
Crises
Liquidity
Markets
Mutual funds
Transformation
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