经济学院2019年第四次学术研讨会

——宏观经济研讨班（二）

主讲人: 魏金宝 博士研究生

单 位：游艇会线路检测中心

题 目: Runs on Money Market Mutual Funds（文献汇报）

时 间: 2019年3月27日（周三）晚上19:00

地 点: 经济学院402会议室

经济学院

2019年3月21日

摘要：We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio.