Vulnerable Funds?

Christoph Fricke and Daniel Fricke

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: We develop a macro-prudential stress test for the fund sector by including the well-documented flow-performance relationship as an additional funding shock in the model of Greenwood et al. (2015). Here, systemic risks can arise due to funds' fire sales of commonly held assets. Using data on U.S. equity mutual funds, we explore the determinants of individual funds' vulnerability to systemic asset liquidations and highlight the importance of portfolio illiquidity.

JEL-codes: G10 G11 G23 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168209

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