THE ROLE OF LINE OF CREDIT IN MUTUAL FUNDS LIQUIDITY: DETERMINANTS AND IMPLICATIONS
Liquidity is an increasingly significant issue that fund managers pay vigorous attention to. While the pervious literature focuses on the mutual fund liquidity management and various other liquidity tools, the determinants and implications of credit lines are not well understood. This study examines the effects of monitoring mechanism, sales restrictions of funds and the financial crisis on funds’ participation in the line of credits. Our results also show that credit lines have significant impact on funds’ cash holdings and therefore is a good substitution of line funds’ cash holdings. We also examine the flow-performance sensitivity of funds after using credit lines. The credit lines would reduce the capital flow in the next period but not weaken the flow-performance sensitivity.
Ng, David T.
Yonker, Scott E.
Applied Economics and Management
M.S., Applied Economics and Management
Master of Science
dissertation or thesis