Economics at your fingertips  

Bond Fund Fragility: Flow Reactions to Extremely Negative Return Shocks

Raphaëlle Bellando, Laura-Dona Capota () and Sébastien Galanti
Additional contact information
Laura-Dona Capota: LEO - Laboratoire d'Économie d'Orleans - UO - Université d'Orléans - UT - Université de Tours

Post-Print from HAL

Abstract: 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)
Date: 2021
References: Add references at CitEc
Citations: Track citations by RSS feed

Published in Finance, 2021, 42 (2), pp.81-114. ⟨10.3917/fina.422.0081⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Bond Fund Fragility: Flow Reactions to Extremely Negative Return Shocks (2021) Downloads
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:

DOI: 10.3917/fina.422.0081

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().

Page updated 2023-09-12
Handle: RePEc:hal:journl:hal-03261778