Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity
研究发现固定收益共同基金在新冠危机期间加剧了流动性资产市场的抛售压力，其赎回顺序优先出售国债和高等级公司债，导致这些市场收益率大幅上升。
Abstract We identify fixed-income mutual funds as an important contributor to the unusually high selling pressure in liquid asset markets during the COVID-19 crisis. We show that mutual funds experienced pronounced investor outflows amplified by their liquidity transformation. In meeting redemptions, funds followed a pecking order by first selling their liquid assets, including Treasuries and high-quality corporate bonds, which generated the most concentrated selling pressure in these markets. Overall, the estimated price impact of mutual funds was sizable at a third of the increase in Treasury yields and a quarter of the increase in corporate bond yields during the COVID-19 crisis.