Organizational form and liquidity management: Evidence from open- vs. closed-end municipal bond funds

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-03-01 Epub Date: 2024-12-18 DOI:10.1016/j.frl.2024.106499

John Chalmers , Z. Jay Wang , Jingyun Yang

引用次数: 0

Abstract

This paper studies how the organizational forms of open- and closed-end funds affect their ability to manage illiquid assets. We use a sample of municipal bond funds from 2002 to 2015 to compare the portfolio liquidity and performance of open- and closed-end funds. We find that immunity to redemption risk allows closed-end funds to hold more illiquid municipal bonds than open-end funds, and they charge higher management fees for such liquidity provision. Closed-end funds earn liquidity premiums from their illiquid holdings. They significantly underperform peer open-end funds after controlling for their exposure to liquidity risk. Highly leveraged closed-end funds are subject to systematic liquidity risk. We find that closed-end funds with higher leverage hold more liquid municipal bonds. They trade more liquid municipal bonds to reduce the potential costs at forced deleverage.

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组织形式与流动性管理：来自开放式与封闭式市政债券基金的证据

本文研究了开放式基金和封闭式基金的组织形式对其非流动性资产管理能力的影响。我们以2002 - 2015年的市政债券基金为样本，比较了开放式和封闭式基金的投资组合流动性和绩效。我们发现，对赎回风险的免疫力使得封闭式基金比开放式基金持有更多的非流动性市政债券，并且它们对这种流动性提供收取更高的管理费。封闭式基金从其非流动性资产中赚取流动性溢价。在控制流动性风险敞口后，它们的表现明显落后于同行开放式基金。高杠杆封闭式基金面临系统性流动性风险。我们发现，杠杆率较高的封闭式基金持有流动性更强的市政债券。他们交易流动性更强的市政债券，以降低被迫去杠杆化的潜在成本。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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