2024-03-19T03:08:04Zhttps://www.tdx.cat/oai/requestoai:www.tdx.cat:10803/4615392024-03-15T10:57:52Zcom_10803_236col_10803_690269
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Financial stability
Essays on mutual funds and their impact on financial stability
[Barcelona] :
Universitat Pompeu Fabra,
2018
Accés lliure
http://hdl.handle.net/10803/461539
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De Jesus, Miguel Karlo,
autor
Programa de doctorat en Economia, Finances i Empresa,
degree
1 recurs en línia (122 pàgines)
Tesi
Doctorat
Universitat Pompeu Fabra. Departament d'Economia i Empresa
2018
Universitat Pompeu Fabra. Departament d'Economia i Empresa
Tesis i dissertacions electròniques
Freixas, Xavier,
supervisor acadèmic
TDX
This dissertation consists of two chapters that explore some of the financial stability
issues that concern mutual funds. The first chapter demonstrates that the
massive sale by US funds of Mexican equity in 2008 triggered the underpricing
of US-fund-held Mexican stocks. Mexican funds that also owned these stocks
joined the US funds in selling, while those that did not bought them. Ultimately,
I find that the Mexican fund purchases counterbalanced the price pressure from
US funds, while the sales exacerbated stock mispricing. In the second chapter, I
present a novel mechanism by which fund managers can have risk-taking incentives
when monetary policy is loose. I develop a model of portfolio allocation
with costly information and show that poor fund returns are penalized less by investor
outflows when the risk-free rate is lower. I likewise establish that this effect
is more pronounced for funds with higher information costs. Using the Federal
funds rate as the riskless rate and fund age as a proxy for information costs, I
provide empirical support for these predictions.
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