Mutual Fund Trading Style and Bond Market Fragility
研究了共同基金交易风格如何影响公司债券市场的脆弱性风险，发现部分基金通过主动提供流动性来缓解市场压力，对监管者和投资者有参考价值。
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.