Active Liquidity Management, Strategic Complementarities, and Market Price of Liquidity
研究了市场不确定性如何通过需求侧渠道影响流动性溢价，发现股票型基金在市场压力下主动增加投资组合流动性，且流动性保存行为受战略互补性影响，进而影响个股反转表现。
This paper examines how market uncertainty impacts the liquidity premium through a demand-side channel. I find that equity mutual funds actively increase the liquidity of their portfolios in response to increased redemptions during market stress. Liquidity preservation is more intense for funds more exposed to strategic complementarities. I show that a stock’s relative illiquidity within a fund’s portfolio is a key determinant in flow-induced rebalancing decisions, whereby funds follow a liquidation “pecking order.” This “flight-to-liquidity” is associated with increases in the liquidity premium and affects individual stocks’ reversal performance: Stocks held by more fragile funds and those with higher illiquidity ranks within funds’ portfolios experience greater returns to liquidity provision during market stress. This paper was accepted by Victoria Ivashina, finance. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.02095 .