Review of Financial Studies Vol. 36 No. 11 2023
Connected Funds
Abstract
Mutual funds often invest in other funds. In this paper, we analyze the economics behind such cross-fund investments and investigate their financial stability implications. Using granular data for the German fund sector, our main findings are that cross-fund investments (a) are becoming increasingly important over time, (b) were heavily liquidated during March 2020, and (c) display measurable contagion effects. Overall, cross-fund investments can elevate structural fund sector vulnerabilities.
- DOI
- 10.1093/rfs/hhad030
- Volume
- 36
- Issue
- 11
- Pages
- 4546-4587
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref