Is leverage driving procyclical investor flows? Assessing investor behaviour in UCITS bond funds

Luis Molestina Vivar, Michael Wedow and Christian Weistroffer

Macroprudential Bulletin, 2019, vol. 9

Abstract: A recent ECB study shows that leverage is an important driver in investors’ redemption decisions. Regulatory changes to the UCITS framework facilitated the use of derivatives, increasing leverage for some European mutual funds which amplified investors' responsiveness to negative returns in a procyclical manner. JEL Classification: G01, G23, G28

Keywords: bond mutual funds; financial fragility; fund leverage (search for similar items in EconPapers)
Date: 2019-10
Note: 406092
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