去杠杆化
市场流动性
流动性危机
货币经济学
业务
杠杆(统计)
金融体系
流动性风险
经济
财务
数学
统计
债务
作者
Buhui Qiu,Gary Gang Tian,Haijian Zeng
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2022-06-01
卷期号:68 (6): 4568-4601
被引量:2
标识
DOI:10.1287/mnsc.2021.4070
摘要
How does deleveraging affect the market liquidity of high-embedded-leverage securities issued by financial institutions and the funding constraints of these institutions? We use the forced deleveraging of structured mutual funds during the 2015 Chinese stock market crash to study the effects of deleveraging. Our regression-discontinuity analysis shows that deleveraging significantly reduces the market liquidity of the deleveraging funds’ equity units. Moreover, our difference-in-differences analysis shows that deleveraging results in large decreases in subsequent fund flows, stock and cash holdings, and performance, with the impact channeled through the deterioration of the market liquidity of the fund’s equity units. This paper was accepted by Victoria Ivashina, finance.
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