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Liquidity Risk and Mutual Fund Manager’s Stock Choice

Liquidity risk is a large issue faced by mutual funds. Large funds typically trade in size, and these large sizes often have a significant impact on prices. My hypothesis is that large funds will not invest in illiquid assets as much as smaller funds due to the price sensitivity of illiquid assets. While this seems obvious, the results from this study are not in agreement with this hypothesis. My paper finds that as the illiquidity of a stock increases, so does the probability that a large fund invests in the stock.

Identiferoai:union.ndltd.org:CLAREMONT/oai:scholarship.claremont.edu:cmc_theses-3071
Date01 January 2019
CreatorsBerg, Hannah
PublisherScholarship @ Claremont
Source SetsClaremont Colleges
Detected LanguageEnglish
Typetext
Formatapplication/pdf
SourceCMC Senior Theses
Rights2019 Hannah R. Berg

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