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- W3148933945 abstract "Using a sample of hedge funds and mutual funds, I examine two channels through which asset managers can contribute to systemic risk: the service channel when funds act as liquidity suppliers and the asset liquidation channel when funds act as liquidity demanders. Consistent with the latter channel being more important, I find that contributions to systemic risk increase significantly when hedge funds demand liquidity. Conversely, no such effect exists for mutual funds. A decomposition of systemic risk reveals that the higher level of systemic risk for liquidity-demanding hedge funds can be explained by a higher degree of interconnectedness. Providing further evidence for the asset liquidation channel, I document that systemic risk is considerably larger when hedge funds demand liquidity in times of low funding liquidity and during stock market boom and bust phases." @default.
- W3148933945 created "2021-04-13" @default.
- W3148933945 creator A5046581315 @default.
- W3148933945 date "2020-01-01" @default.
- W3148933945 modified "2023-09-23" @default.
- W3148933945 title "Systemic Risk Channels of Asset Managers: Evidence from Hedge Funds and Mutual Funds" @default.
- W3148933945 doi "https://doi.org/10.2139/ssrn.3631115" @default.
- W3148933945 hasPublicationYear "2020" @default.
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