Fire Sales and Impediments to Liquidity Provision in the Corporate Bond Market
研究了共同基金在保险公司抛售公司债券时提供流动性的障碍，发现金融监管和资本限制显著影响流动性供给，而积极投资于抛售债券的基金能获得显著收益。
We examine impediments to liquidity provision by mutual funds to insurance companies during corporate bond fire sales. We find that financial regulation and limited capital capacity significantly affect liquidity provision. Mutual funds reduced their purchase of fire-sale bonds following regulatory changes after the 2008–2009 financial crisis. Funds facing more capital constraints (proxied by smaller cash and Treasury holdings, less liquid corporate bond investments, higher redemption risk, and less active investment styles) provide less liquidity. Mutual funds actively investing in fire-sale bonds earn significant returns from liquidity provision and demonstrate superior overall skills in corporate bond investments.