Bond Price Fragility and the Structure of the Mutual Fund Industry
研究发现，持有某债券份额较大的共同基金在面临赎回时，更倾向于减少抛售该债券，以内部化抛售带来的负面价格溢出效应，从而降低债券的流动性风险暴露。
Abstract We conjecture that mutual funds with large shares of outstanding bond issues are more inclined to internalize the negative price spillovers of fire sales and thus sell their holdings in those issues, to a lower extent, when they experience redemptions. We provide evidence consistent with this conjecture and further show that ownership concentration limits bonds’ exposures to flow-induced fire sales. We exploit variation in negative spillovers arising from the Fed’s SMCCF to confirm the economic mechanism and explore our findings’ implications for fund performance and fire-sale spillovers to other funds.