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- W3122003331 abstract "Abstract We explore the link between mutual funds and fragility risk in the corporate bond market. We classify a fund’s trading style based on its responses to signals of large dealer inventories. Trading style is persistent and the majority of funds demand liquidity. Notably, a subset of funds earn positive alpha by intentionally supplying liquidity during periods of sustained customer selling (with transitory price effects). Liquidity-supplying funds maintain their relative trading style when facing large outflows and elevated market stress, thus alleviating fragility risk. Our results add nuance to existing evidence that mutual funds pose a threat to market stability." @default.
- W3122003331 created "2021-02-01" @default.
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- W3122003331 date "2020-10-21" @default.
- W3122003331 modified "2023-10-02" @default.
- W3122003331 title "Mutual Fund Trading Style and Bond Market Fragility" @default.
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- W3122003331 doi "https://doi.org/10.1093/rfs/hhaa120" @default.
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