主题： Dynamic
Liquidity Management by Corporate Bond Mutual Funds（公司债券共同基金的动态流动性管理）
主讲人: Ashley Wang，美国联邦储备委员会高级经济学家
日期：2016年6月29日（周三）
时间：下午 1:30-2:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
This
paper explores dynamic liquidity management by 578 open-end corporate bond
funds during the period from 2002 to 2014. We find that during tranquil
markets, managers of corporate bond funds tend to reduce their holdings of
liquid assets such as cash and government bonds to meet investor redemptions,
engaging in a “horizontal cut” of their asset allocations along the liquidity
spectrum. During periods with heightened macroeconomic uncertainty, however,
managers tend to liquidate relatively proportionally across asset classes,
pursuing a “vertical cut” and maintaining portfolio liquidity. Consistent with
the existence of a target ratio of liquid assets, we find that managers tend to
sell illiquid assets to restore their holdings of liquid assets subsequent to
investor redemptions, especially amid elevated macroeconomic uncertainty.
Turning to individual securities, we find that when liquidating corporate bonds
to meet redemptions, managers tend to follow a “liquidity pecking order,”
selling relatively liquid corporate bonds first, which could mitigate immediate
asset liquidation costs. The micro-level liquidity management practices of
corporate bond funds have implications for financial stability of broad
markets.
主讲人简介：
Ashley Wang is currently a
Senior Economist at Federal Reserve Board, Washington DC as well as an adjunct
finance faculty at Georgetown University. She received her PhD degree in
finance from Anderson School, UCLA, Los Angeles, CA in 2003. Ashley’s research
focuses on empirical asset pricing, liquidity risk, institutional investors and
mutual funds and hedge fund. She has published in Review of Financial Studies, Journal of Empirical Finance and Journal
of Finance, among others.
