Does the buck stop here? A comparison of withdrawals from money market mutual funds with floating and constant share prices

摘要

Recent reform proposals call for an elimination of the constant net asset value (NAV) or "buck" in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Using daily data on individual fund flows from these countries, this paper evaluates whether the reliance on a constant NAV is associated with higher fund redemptions. The data suggest that funds with a constant NAV experienced more negative net flows during the period of the run on the Reserve Primary Fund, even after controlling for measures of fund risk and risk aversion. However, I do not find convincing support for the hypothesis that the effect of sponsor strength on fund flows was stronger for constant NAV money market funds. (C) 2016 Elsevier B.V. All rights reserved.