Unexpected market news weakens fund liquidity – paper
Findings important for understanding systemic risk of firms during times of stress, researchers say
The liquidity of less-liquid mutual funds deteriorates following unexpected macroeconomic or market news, researchers find in a paper published by the Federal Reserve.
In the paper, Sirio Aramonte, Chiara Scotti and Ilknur Zer analyse how fund liquidity changes following two types of unanticipated events. Specifically, they look at scheduled macroeconomic announcements from 2004–16 that reveal unexpected news about the economy, and significant but unforeseen market events.
In the aftermath of
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