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Replication data for: Runs on Money Market Mutual Funds

Version
1
Resource Type
Dataset
Creator
  • Schmidt, Lawrence
  • Timmermann, Allan
  • Wermers, Russ
Publication Date
2016-09-01
Description
  • 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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.20140678 (Text)
Publications
  • Schmidt, Lawrence, Allan Timmermann, and Russ Wermers. “Runs on Money Market Mutual Funds.” American Economic Review 106, no. 9 (September 2016): 2625–57. https://doi.org/10.1257/aer.20140678.
    • ID: 10.1257/aer.20140678 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-06

Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ (2016): Replication data for: Runs on Money Market Mutual Funds. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E116157V1