中文摘要
我们构建了一个框架，用以量化共同基金面对贱卖溢出损失的脆弱性。我们考虑了先动者激励，该激励源于向赎回投资者提供的流动性与基金所持资产流动性之间的错配。在我们的框架中，投资者赎回与资产出售价格冲击之间的负反馈循环导致基金净资产值的总体变化，该变化被确定为一个非线性映射的不动点。我们表明，先动者的集中度越高，系统的总体脆弱性越大；该脆弱性以基金赎回引发的内生损失与仅由初始价格冲击造成的外生损失之比来衡量。在校准至美国共同基金后，我们的模型显示，在压力市场情景下，溢出损失通过源于先动者激励的、对初始冲击的非线性响应而被显著放大。更高的溢出损失为提前赎回提供了更强的激励，从而进一步加大贱卖损失，并通过重叠的投资组合持仓加剧冲击的传导。
Abstract
We develop a framework to quantify the vulnerability of mutual funds to fire-sale spillover losses. We account for the first-mover incentive that results from the mismatch between the liquidity offered to redeeming investors and the liquidity of assets held by the funds. In our framework, the negative feedback loop between investors’ redemptions and price impact from asset sales leads to an aggregate change in funds’ net asset value, which is determined as a fixed point of a nonlinear mapping. We show that a higher concentration of first movers increases the aggregate vulnerability of the system as measured by the ratio between endogenous losses triggered by fund redemptions and exogenous losses caused by initial price shocks only. When calibrated to U.S. mutual funds, our model shows that, in stressed market scenarios, spillover losses are significantly amplified through a nonlinear response to initial shocks that results from the first-mover incentive. Higher spillover losses provide a stronger incentive to redeem early, further increasing fire-sale losses and the transmission of shocks through overlapping portfolio holdings.