Department of Economics and Business Economics

Runs on Money Market Mutual Funds

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Runs on Money Market Mutual Funds. / Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ.

In: American Economic Review, Vol. 106, No. 9, 01.09.2016, p. 2625-2657.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

Harvard

Schmidt, L, Timmermann, A & Wermers, R 2016, 'Runs on Money Market Mutual Funds', American Economic Review, vol. 106, no. 9, pp. 2625-2657. https://doi.org/10.1257/aer.20140678

APA

Schmidt, L., Timmermann, A., & Wermers, R. (2016). Runs on Money Market Mutual Funds. American Economic Review, 106(9), 2625-2657. https://doi.org/10.1257/aer.20140678

CBE

Schmidt L, Timmermann A, Wermers R. 2016. Runs on Money Market Mutual Funds. American Economic Review. 106(9):2625-2657. https://doi.org/10.1257/aer.20140678

MLA

Schmidt, Lawrence, Allan Timmermann and Russ Wermers. "Runs on Money Market Mutual Funds". American Economic Review. 2016, 106(9). 2625-2657. https://doi.org/10.1257/aer.20140678

Vancouver

Schmidt L, Timmermann A, Wermers R. Runs on Money Market Mutual Funds. American Economic Review. 2016 Sep 1;106(9):2625-2657. https://doi.org/10.1257/aer.20140678

Author

Schmidt, Lawrence ; Timmermann, Allan ; Wermers, Russ. / Runs on Money Market Mutual Funds. In: American Economic Review. 2016 ; Vol. 106, No. 9. pp. 2625-2657.

Bibtex

@article{9144f00d021448a0a5c608a44b86fd9a,
title = "Runs on Money Market Mutual Funds",
abstract = "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. (JEL D14, G11, G23).",
author = "Lawrence Schmidt and Allan Timmermann and Russ Wermers",
year = "2016",
month = sep,
day = "1",
doi = "10.1257/aer.20140678",
language = "English",
volume = "106",
pages = "2625--2657",
journal = "American Economic Review",
issn = "0002-8282",
publisher = "American Economic Association",
number = "9",

}

RIS

TY - JOUR

T1 - Runs on Money Market Mutual Funds

AU - Schmidt, Lawrence

AU - Timmermann, Allan

AU - Wermers, Russ

PY - 2016/9/1

Y1 - 2016/9/1

N2 - 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. (JEL D14, G11, G23).

AB - 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. (JEL D14, G11, G23).

UR - http://www.scopus.com/inward/record.url?scp=84989213516&partnerID=8YFLogxK

U2 - 10.1257/aer.20140678

DO - 10.1257/aer.20140678

M3 - Journal article

AN - SCOPUS:84989213516

VL - 106

SP - 2625

EP - 2657

JO - American Economic Review

JF - American Economic Review

SN - 0002-8282

IS - 9

ER -