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Brown Bag Seminar - Maria Chaderina

Wir freuen uns, für Freitag, 20. Oktober 2017, ein Brown Bag Seminar mit Maria Chade­rina (WU) ankün­digen zu können.

Die Veran­stal­tung findet in D3.0.225, von 11:00 bis 12:00 statt.

Sie wird ihr Paper "Why do mutual funds hold cash?” (gemeinsam mit Chris­toph Scheuch), vorstellen.

Abstract: We argue that mutual funds hold liquid assets at least parti­ally to collect rents, a motive diffe­rent from liqui­dity trans­for­ma­tion. We propose a parsi­mo­nious model that incor­po­rates the effects of trading costs and liqui­dity manage­ment on fund flows. Follo­wing bad perfor­mance, mana­gers compen­sated on fund size opti­mally reduce illi­quid invest­ment to maxi­mize future expected returns, preser­ving some liq- uid assets. Mana­gers compen­sated on past perfor­mance, on the other hand, meet redemp­tions by deple­ting liquid assets first. However, because of lower expected returns this only inten­si­fies the outflow and desta­bi­lizes the fund. More­over, the use of cash for rent collec­tion is preferred to higher manage­ment fees, as it makes mutual funds less prone to liqui­di­ty­-d­riven with­dra­wals. Overall, we caution not to inter­pret the observed balances of liquid assets in mutual funds as conclu­sive evidence of the magni­tude for liqui­dity trans­for­ma­tion these funds provide.



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