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Intermediary Balanc...
Intermediary Balance Sheet Constraints, Bond Mutual Funds' Strategies, and Bond Returns
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- Giannetti, Mariassunta (författare)
- Stockholm School of Economics,Handelshögskolan i Stockholm
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- Jotikasthira, Chotibhak (författare)
- Southern Methodist University
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- Rapp, Andreas C. (författare)
- Federal Reserve
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- Waibel, Martin (författare)
- Stockholm School of Economics,Handelshögskolan i Stockholm
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(creator_code:org_t)
- Stockholm : Swedish House of Finance (SHOF), 2023
- Engelska.
- Relaterad länk:
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https://research.hhs... (primary) (Object in context)
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https://research.hhs...
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https://doi.org/10.2...
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Abstract
Ämnesord
Stäng
- We show that after the introduction of leverage ratio constraints on bank-affiliated dealers, bond mutual funds have engaged in more liquidity provision in investment-grade corporate bonds and that the performance of funds with liquidity-supplying strategies has benefited. Not only have regulations transferred profits associated with liquidity provision in the corporate bond market to mutual funds, but the liquidity and returns of investment-grade corporate bonds have become more exposed to redemptions from the bond mutual fund industry, suggesting that the regulations may have made investment-grade corporate bonds more volatile. Accordingly, we observe that investment-grade corporate bonds more exposed to leverage ratio constraints experienced more severe deterioration in liquidity and returns at the onset of the COVID-19 pandemic.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Publikations- och innehållstyp
- ovr (ämneskategori)
- vet (ämneskategori)