Adequate Liquid Provision for a Run Preventing Contract

JaeJoon Han ()
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JaeJoon Han: Inha University

Economics Bulletin, 2011, vol. 31, issue 4, 2986-2995

Abstract: We extend Ross and Cooper (1998) and find an adequate liquidate provision as a function of liquidity cost in CRRA (Constant Relative Risk Aversion) environment. Our study shows that a RPC (run preventing contract) in a MMMF (money market mutual fund) requires a higher amount of liquidity provision when the capital loss becomes greater in a credit crunch period.

Keywords: liquidation cost; fund run; illiquid investment; liquid investment (search for similar items in EconPapers)
JEL-codes: E4 G2 (search for similar items in EconPapers)
Date: 2011-10-21
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