Towards a macroprudential regulatory framework for mutual funds?

Christos Argyropoulos, Bertrand Candelon, Jean-Baptiste Hasse and Ekaterini Panopoulou ()
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Christos Argyropoulos: Essex Business School - University of Essex
Ekaterini Panopoulou: Essex Business School - University of Essex

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Abstract: This paper highlights the procyclical and unstable behaviour of mutual funds, characterized by a varying sensitivity on common asset pricing factors. It proposes a novel factor model that allows for regime changes associated with macroeconomic and financial state variables. Estimated on a panel covering 825 US equity mutual funds over a period of 30 years, it appears that the yield curve, the dividend yield, short term interest rates and the industrial production coincide with regimes switches in the Fama-French factors. Furthermore, the estimated regimes coincide with financial crises and economic downturns, thus confirming the procyclical behaviour of mutual funds' returns. These findings, coupled with the emerging systemic role of mutual funds, promote the consideration for a specific macroprudential regulatory framework targeted at the mutual fund industry.

Keywords: financial stability; macroprudential framework; mutual fund industry; regulation (search for similar items in EconPapers)
Date: 2023-04-25
New Economics Papers: this item is included in nep-cba
Note: View the original document on HAL open archive server: https://amu.hal.science/hal-04103373v1
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Published in International Journal of Finance and Economics, inPress, ⟨10.1002/ijfe.2815⟩

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Related works:
Journal Article: Towards a macroprudential regulatory framework for mutual funds? (2024)
Working Paper: Toward a Macroprudential Regulatory Framework for Mutual Funds (2023)
Working Paper: Toward a macroprudential regulatory framework for mutual funds (2020)
Working Paper: Toward a Macroprudential Regulatory Framework for Mutual Funds (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04103373

DOI: 10.1002/ijfe.2815

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