Conference paper
Mutual fund redemptions: Liquidity preferences in fund asset sales
17th Australasian Finance and Banking Conference (AFBC) (Sydney, Australia, 15/12/2004–17/12/2004)
2004
Abstract
This study investigates whether mutual funds that experience redemptions preferentially sell their more-liquid stocks. Investors that remain in such funds may inherit portfolios of less-liquid stocks, with an associated transfer of wealth to redeemers. Using 626 mutual fund-periods between 1995 and 1999 we observe that funds do indeed have a systematic preference for selling their more-liquid stocks when they experience redemptions. Our findings question the efficacy of a buy-and-hold strategy where investors could be disadvantaged by managers preferentially selling their more-liquid assets.
Details
- Title
- Mutual fund redemptions: Liquidity preferences in fund asset sales
- Authors/Creators
- D. Gasbarro (Author/Creator)G. Cullen (Author/Creator)
- Conference
- 17th Australasian Finance and Banking Conference (AFBC) (Sydney, Australia, 15/12/2004–17/12/2004)
- Identifiers
- 991005540036407891
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Conference paper
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