Commonality in Liquidity: A Demand-Side Explanation

被引：110

作者：

Koch, Andrew ^{[1
]}

Ruenzi, Stefan ^{[2
]}

Starks, Laura ^{[3
]}

机构：

[1] Univ Pittsburgh, 326 Mervis Hall, Pittsburgh, PA 15260 USA

[2] Univ Mannheim, Mannheim, Germany

[3] Univ Texas Austin, Austin, TX 78712 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2016年 / 29卷 / 08期

关键词：

G10; G14; MUTUAL FUND PERFORMANCE; CROSS-SECTION; STOCK RETURNS; IMPACT; PRICE; RISK; SIZE; ILLIQUIDITY; MOMENTUM; FLOWS;

D O I：

10.1093/rfs/hhw026

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We hypothesize that a source of commonality in a stock's liquidity arises from the correlated liquidity demand of the stock's investors. Focusing on correlated trading of mutual funds, we find that stocks with high mutual fund ownership have comovements in liquidity about twice as large as those for stocks with low mutual fund ownership. Further analysis shows that the channels for these comovements derive from both common ownership across funds and funds' correlated liquidity shocks. We obtain inferences supporting causality from an exogenous flow shock for mutual funds in the aftermath of the 2003 mutual fund scandal.

引用

页码：1943 / 1974

页数：32

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