Liquidity transformation risks and stabilization tools: Evidence from open‐end private equity real estate funds
研究了开放式基金因资产流动性差导致的净资产价值择时策略，发现该策略在纸面上有利可图且投资者行为与之相符，同时指出流动性缓冲反而会放大风险，而自由裁量的流动性限制（排队）能有效保护投资者。
Abstract Open‐end funds provide a liquidity transformation service when they issue and redeem shares that are more liquid than their underlying assets. However, because these assets are illiquid, their returns are stale and predictable. This makes them susceptible to Net Asset Value‐timing (NAV‐timing) strategies which could transfer significant wealth from buy‐and‐hold investors and creates fund fragility risks. I show that NAV‐timing strategies appear profitable on paper and that investor behavior is consistent with these strategies. I also show that discretionary liquidity restrictions (queues) protect against these wealth transfer and fund fragility risks while liquidity buffers do not. In fact, liquidity buffers amplify them when added to queues.