Once Burned, Twice Shy: Money Market Fund Responses to a Systemic Liquidity Shock
研究了2008年雷曼兄弟倒闭后，遭受大规模赎回的货币市场基金被迫出售最安全资产，随后反而更大幅度降低风险，表明政府担保并未助长风险承担。
Abstract After Lehman’s collapse in 2008, investors ran from risky money market funds. In 27 funds, outflows overwhelmed cash inflows, thus forcing asset sales. These funds sold their safest and most liquid holdings. Funds were thus left with riskier and longer maturity assets. Over the subsequent quarter, however, the hard-hit funds reduced risk more than other funds. In contrast, money funds hit by idiosyncratic liquidity shocks before Lehman did not alter portfolio risk. The result suggests that moral hazard concerns with the Treasury Guarantee of investor claims did not increase risk taking. Funds that benefited most from the government bailout reduced risk.