Meeting Investor Outflows in Czech Bond and Equity Funds: Horizontal or Vertical?

Milan Szabo

Working Papers from Czech National Bank, Research and Statistics Department

Abstract: This paper explores liquidity management practices in Czech open-ended bond and equity funds. I reconstruct cash flows stemming from investors and securities and cash flows related to purchases and sales in portfolios and margin calls to study liquidity transformation and liquidity management in investment funds. I point to multiple factors, such as portfolio illiquidity and current market conditions, that influence the joint behavior between investor redemptions and funds' liquidity management. I then investigate how funds replenished their liquid buffers and show that relaxation of liquidity transformation and more aggressive sales from funds' portfolios are the main channels through which funds rebuild their liquid buffers.

Keywords: Investment fund; liquidity management; liquidity transformation (search for similar items in EconPapers)
JEL-codes: G11 G23 G30 (search for similar items in EconPapers)
Date: 2022-06
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (4)

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Journal Article: Meeting investor outflows in Czech bond and equity funds: horizontal or vertical? (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:cnb:wpaper:2022/6

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