Bond Fund Fragility: Flow Reactions to Extremely Negative Return Shocks
Laura-Dona Capotă and
Finance, 2021, vol. 42, issue 2, 81-115
We study the relationship between French bond mutual fund returns and their flows to assess whether mutual funds can generate financial instability. We show that mutual funds that present very negative short-term returns experience greater outflows than other funds (this effect appears at the bottom negative return quintile). Furthermore, regardless of the mutual funds? returns, investors seem to redeem more during periods of financial stress. Additional results show that for institutional investors, the nonlinear effect appears more frequently, starting from the second quintile of negative returns. This confirms the fragility stemming from negative shocks to bond mutual funds.
Keywords: bond mutual funds; flows; flows-performance relationship (search for similar items in EconPapers)
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: Bond Fund Fragility: Flow Reactions to Extremely Negative Return Shocks (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cai:finpug:fina_422_0081
Access Statistics for this article
More articles in Finance from Presses universitaires de Grenoble
Bibliographic data for series maintained by Jean-Baptiste de Vathaire ().