Runs on Money Market Mutual Funds

Lawrence Schmidt, Allan Timmermann and Russell Wermers ()

American Economic Review, 2016, vol. 106, issue 9, 2625-57

Abstract: We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio.

JEL-codes: D14 G11 G23 (search for similar items in EconPapers)
Date: 2016
Note: DOI: 10.1257/aer.20140678
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Citations: View citations in EconPapers (89)

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Related works:
Working Paper: Runs on money market mutual funds (2014)
Working Paper: Runs on money market mutual funds (2012)
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