Skilled active liquidity management: Evidence from shocks to fund flows

I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfoli...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of empirical finance Jg. 81; S. 101579
1. Verfasser: Rzeźnik, Aleksandra
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Elsevier B.V 01.03.2025
Schlagworte:
Equity mutual funds
Liquidity management
Managerial skills
Liquidity management
Managerial skills
Equity mutual funds
ISSN:0927-5398
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows. Among affected funds, those that more aggressively increase portfolio liquidity significantly outperform their less liquidity-focused peers, suggesting that skilled managers employ active liquidity management to minimize costs imposed by redemption obligations. •I exploit two independent shocks to mutual fund net flows.•Fund managers increase portfolio liquidity when subject to sudden outflows.•Skilled managers employ liquidity management to minimize costs im- posed by outflows.
ISSN:0927-5398
DOI:10.1016/j.jempfin.2025.101579