共同基金的动态流动性偏好——基于预期市场波动和投资者情绪

doi:10.16381/j.cnki.issn1003-207x.2021.0858

Abstract

Abstract: Liquidity management is particularly relevant for mutual funds as they face redemption risk induced by market liquidity crunch, bearing huge liquidity costs. Fund managers manage liquidity risk by observing signals of future investor redemption, so as to provide a “dynamic liquidity cushion” in advance and to mitigate the adverse effect of fund outflows (Scholes, 2000). Previous literature considers market volatility in gauging redemption risks, but behavioral factors such as investor sentiment that can potentially influence fund flows have not been examined. The gap is filled by considering market volatility and investor sentiment as a combined signal to gauge future fund redemption and to understand funds’ strategic liquidity provision in China.

Key words: fund redemption; expected market volatility; investor sentiment; funds’ dynamic liquidity preference

CLC Number:

F832.51

WANG Dan-yang, YAO Lu-shi. Mutual Funds’ Dynamic Liquidity Preference-Based on Expected Market Volatility and Investor Sentiment[J]. Chinese Journal of Management Science, 2023, 31(5): 39-48.

References

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Mutual Funds’ Dynamic Liquidity Preference-Based on Expected Market Volatility and Investor Sentiment

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