Money funds manage returns

Yu Cai and Qing Wang

Pacific-Basin Finance Journal, 2022, vol. 71, issue C

Abstract: Daily returns at quarter end are above the average by 12% for a sample of stable-NAV money market funds (MMFs) in China from 2011 to 2017. Crucially, quarter-end returns are significantly driven by the deviations between market-based and accounting-based NAVs. Further analyses indicate that returns are intentionally managed upward through NAV deviations to influence fund flows, with the important implication of wealth transfers among exiting, remaining and incoming investors. To the extent that wealth transfers are undesirable from a public policy perspective, our finding lends further support to recent reforms to institute floating-NAV MMFs in various countries including the United States and China.

Keywords: Money market funds; Net asset values; Return management; Fund flows (search for similar items in EconPapers)
JEL-codes: G1 G15 G20 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X2100189X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:71:y:2022:i:c:s0927538x2100189x

DOI: 10.1016/j.pacfin.2021.101682

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().