{"title":"Skilled active liquidity management: Evidence from shocks to fund flows","authors":"Aleksandra Rzeźnik","doi":"10.1016/j.jempfin.2025.101579","DOIUrl":null,"url":null,"abstract":"<div><div>I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows. Among affected funds, those that more aggressively increase portfolio liquidity significantly outperform their less liquidity-focused peers, suggesting that skilled managers employ active liquidity management to minimize costs imposed by redemption obligations.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"81 ","pages":"Article 101579"},"PeriodicalIF":2.4000,"publicationDate":"2025-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Empirical Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927539825000015","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"2025/2/7 0:00:00","PubModel":"Epub","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
I examine the active liquidity management of U.S. equity mutual funds facing unexpected, persistent investor withdrawals by exploiting two independent shocks: the 2003 mutual fund scandal and the 2016 introduction of Morningstar Sustainability Ratings. I document that fund managers increase portfolio liquidity by adjusting both equity and cash holdings when subject to sudden, moderate, and prolonged outflows. Among affected funds, those that more aggressively increase portfolio liquidity significantly outperform their less liquidity-focused peers, suggesting that skilled managers employ active liquidity management to minimize costs imposed by redemption obligations.
期刊介绍：
The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.
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