IDEAS home Printed from https://ideas.repec.org/a/bla/acctfi/v62y2022i2p2313-2338.html
   My bibliography  Save this article

On the recent developments of mutual funds with fixed‐income holdings: a systematic review

Author

Listed:
  • Abbas Hejri

Abstract

Bond funds and money market funds hold a sizable portion of fixed‐income securities and have experienced considerable growth over the recent decades. Moreover, the global financial crisis (GFC) was a turning point in identifying the hidden risks associated with these mutual funds. Nevertheless, and despite their significance, these funds are dwarfed by numerous studies on equity mutual funds. This paper conducts a systematic review and explores the primary research streams and emerging themes during the GFC and post‐GFC. Four main genealogies are identified: performance persistency and active management, green funds, ’funds’ flow and flow‐performance, and money market funds and financial crisis.

Suggested Citation

  • Abbas Hejri, 2022. "On the recent developments of mutual funds with fixed‐income holdings: a systematic review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(2), pages 2313-2338, June.
    • Handle: RePEc:bla:acctfi:v:62:y:2022:i:2:p:2313-2338
    DOI: 10.1111/acfi.12866
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/acfi.12866
    Download Restriction: no
    File URL: https://libkey.io/10.1111/acfi.12866?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Adam, Tim & Guettler, Andre, 2015. "Pitfalls and perils of financial innovation: The use of CDS by corporate bond funds," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 204-214.
    2. Manconi, Alberto & Massa, Massimo & Yasuda, Ayako, 2012. "The role of institutional investors in propagating the crisis of 2007–2008," Journal of Financial Economics, Elsevier, vol. 104(3), pages 491-518.
    3. Jing-Zhi Huang & Ying Wang, 2014. "Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings," Management Science, INFORMS, vol. 60(8), pages 2091-2109, August.
    4. Arnold L Redman & Nell S Gullett, 2007. "Impact of fund, management and market characteristics on bond mutual fund performance," Journal of Asset Management, Palgrave Macmillan, vol. 7(6), pages 429-442, March.
    5. Fratzscher, Marcel, 2012. "Capital flows, push versus pull factors and the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 341-356.
    6. Bialkowski, Jedrzej & Otten, Roger, 2011. "Emerging market mutual fund performance: Evidence for Poland," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 118-130, August.
    7. Cici, Gjergji & Gibson, Scott & Merrick Jr., John J., 2011. "Missing the marks? Dispersion in corporate bond valuations across mutual funds," Journal of Financial Economics, Elsevier, vol. 101(1), pages 206-226, July.
    8. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
    9. Morris, Stephen & Shim, Ilhyock & Shin, Hyun Song, 2017. "Redemption risk and cash hoarding by asset managers," Journal of Monetary Economics, Elsevier, vol. 89(C), pages 71-87.
    10. Vikas Agarwal & Haibei Zhao, 2019. "Interfund Lending in Mutual Fund Families: Role in Liquidity Management," The Review of Financial Studies, Society for Financial Studies, vol. 32(10), pages 4079-4115.
    11. Strahan, Philip E. & Tanyeri, Başak, 2015. "Once Burned, Twice Shy: Money Market Fund Responses to a Systemic Liquidity Shock," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(1-2), pages 119-144, April.
    12. Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert, 2012. "Neglected risks, financial innovation, and financial fragility," Journal of Financial Economics, Elsevier, vol. 104(3), pages 452-468.
    13. Garfield, Eugene, 2009. "From the science of science to Scientometrics visualizing the history of science with HistCite software," Journal of Informetrics, Elsevier, vol. 3(3), pages 173-179.
    14. Leif Holger Dietze & Oliver Entrop & Marco Wilkens, 2009. "The performance of investment grade corporate bond funds: evidence from the European market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(2), pages 191-209.
    15. Ammann, Manuel & Kind, Axel & Seiz, Ralf, 2010. "What drives the performance of convertible-bond funds?," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2600-2613, November.
    16. Lawrence Schmidt & Allan Timmermann & Russ Wermers, 2016. "Runs on Money Market Mutual Funds," American Economic Review, American Economic Association, vol. 106(9), pages 2625-2657, September.
    17. Cici, Gjergji & Gibson, Scott, 2012. "The Performance of Corporate Bond Mutual Funds: Evidence Based on Security-Level Holdings," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(1), pages 159-178, February.
    18. C. Edward Chang & H. Doug Witte, 2010. "Performance Evaluation of U.S. Socially Responsible Mutual Funds: Revisiting Doing Good and Doing Well," American Journal of Business, Emerald Group Publishing Limited, vol. 25(1), pages 9-24, April.
    19. Witmer, Jonathan, 2019. "Strategic complementarities and money market fund liquidity management," Journal of Financial Intermediation, Elsevier, vol. 38(C), pages 58-68.
    20. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
    21. Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
    22. Samuel G Hanson & David S Scharfstein & Adi Sunderam, 2015. "An Evaluation of Money Market Fund Reform Proposals," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 63(4), pages 984-1023, November.
    23. Boney, Vaneesha & Comer, George & Kelly, Lynne, 2009. "Timing the investment grade securities market: Evidence from high quality bond funds," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 55-69, January.
    24. Rakowski, David, 2010. "Fund Flow Volatility and Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 223-237, February.
    25. Yong Chen & Nan Qin, 2017. "The Behavior of Investor Flows in Corporate Bond Mutual Funds," Management Science, INFORMS, vol. 63(5), pages 1365-1384, May.
    26. Aragon, George O. & Li, Lei & Qian, Jun ‘QJ’, 2019. "The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk," Journal of Financial Economics, Elsevier, vol. 131(1), pages 168-185.
    27. Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, vol. 55(2), pages 773-806, April.
    28. Ajay Khorana & Henri Servaes & Peter Tufano, 2009. "Mutual Fund Fees Around the World," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1279-1310.
    29. C. Edward Chang & Walt A. Nelson & H. Doug Witte, 2012. "Do green mutual funds perform well?," Management Research Review, Emerald Group Publishing Limited, vol. 35(8), pages 693-708, July.
    30. Friesen, Geoffrey C. & Sapp, Travis R.A., 2007. "Mutual fund flows and investor returns: An empirical examination of fund investor timing ability," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2796-2816, September.
    31. Daniel Bergstresser & John M. R. Chalmers & Peter Tufano, 2009. "Assessing the Costs and Benefits of Brokers in the Mutual Fund Industry," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4129-4156, October.
    32. Ayadi, Mohamed A. & Kryzanowski, Lawrence, 2011. "Fixed-income fund performance: Role of luck and ability in tail membership," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 379-392, June.
    33. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. "Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-1882, December.
    34. Jon A. Fulkerson & Timothy B. Riley, 2017. "Mutual Fund Liquidity Costs," Financial Management, Financial Management Association International, vol. 46(2), pages 359-375, June.
    35. Aftab, Zary & Varotto, Simone, 2019. "Liquidity and shadow banking," Journal of International Money and Finance, Elsevier, vol. 99(C).
    36. Susan E.K. Christoffersen & David K. Musto & Russ Wermers, 2014. "Investor Flows to Asset Managers: Causes and Consequences," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 289-310, December.
    37. Marcin Kacperczyk & Philipp Schnabl, 2010. "When Safe Proved Risky: Commercial Paper during the Financial Crisis of 2007-2009," Journal of Economic Perspectives, American Economic Association, vol. 24(1), pages 29-50, Winter.
    38. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
    39. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
    40. C. Edward Chang & H. Doug Witte, 2010. "Performance Evaluation of U.S. Socially Responsible Mutual Funds: Revisiting Doing Good and Doing Well," American Journal of Business, Emerald Group Publishing, vol. 25(1), pages 9-21.
    41. Marcin Kacperczyk & Philipp Schnabl, 2013. "How Safe Are Money Market Funds?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 128(3), pages 1073-1122.
    42. Huij, Joop & Derwall, Jeroen, 2008. ""Hot Hands" in bond funds," Journal of Banking & Finance, Elsevier, vol. 32(4), pages 559-572, April.
    43. Du, Ding & Huang, Zhaodan & Blanchfield, Peter J., 2009. "Do fixed income mutual fund managers have managerial skills?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 378-397, May.
    44. Gary Gorton & Andrew Metrick, 2010. "Regulating the Shadow Banking System," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 261-312.
    45. Sergey Chernenko & Adi Sunderam, 2014. "Frictions in Shadow Banking: Evidence from the Lending Behavior of Money Market Mutual Funds," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1717-1750.
    46. Bengtsson, Elias, 2013. "Shadow banking and financial stability: European money market funds in the global financial crisis," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 579-594.
    47. Adam, Tim & Güttler, André, 2015. "Pitfalls and perils of financial innovation: The use of CDS by corporate bond funds," SFB 649 Discussion Papers 2015-013, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Qin, Nan & Wang, Ying, 2021. "Does portfolio concentration affect performance? Evidence from corporate bond mutual funds," Journal of Banking & Finance, Elsevier, vol. 123(C).
    2. Mayank Patel & Vinodh Madhavan & Supratim Gupta, 2022. "Selection ability, timing ability, and performance persistence of Indian fixed income mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 23(1), pages 46-61, February.
    3. Grose, Chris & Dasilas, Apostolos & Alexakis, Christos, 2014. "Performance persistence in fixed interest funds: With an eye on the post-debt crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 155-182.
    4. Linardi, Fernando M., 2020. "Investors’ behavior and mutual fund portfolio allocations in Brazil during the global financial crisis," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
    5. Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
    6. Antoine Bouveret & Antoine Martin & Patrick E. McCabe, 2022. "Money Market Fund Vulnerabilities: A Global Perspective," Finance and Economics Discussion Series 2022-012, Board of Governors of the Federal Reserve System (U.S.).
    7. Cai, Fang & Han, Song & Li, Dan & Li, Yi, 2019. "Institutional herding and its price impact: Evidence from the corporate bond market," Journal of Financial Economics, Elsevier, vol. 131(1), pages 139-167.
    8. Fernando M. Linardi, 2020. "Investors’ Behavior and Mutual Fund Portfolio Allocations in Brazil during the Global Financial Crisis," Working Papers Series 517, Central Bank of Brazil, Research Department.
    9. Capotă, Laura-Dona & Grill, Michael & Molestina Vivar, Luis & Schmitz, Niklas & Weistroffer, Christian, 2022. "Is the EU money market fund regulation fit for purpose? Lessons from the COVID-19 turmoil," Working Paper Series 2737, European Central Bank.
    10. Keith Cuthbertson & Simon Hayley & Dirk Nitzsche, 2016. "Market and Style Timing: German Equity and Bond Funds," European Financial Management, European Financial Management Association, vol. 22(4), pages 667-696, September.
    11. Martin Rohleder & Hendrik Scholz & Marco Wilkens, 2018. "Success and failure on the corporate bond fund market," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 429-443, October.
    12. Yong Chen & Nan Qin, 2017. "The Behavior of Investor Flows in Corporate Bond Mutual Funds," Management Science, INFORMS, vol. 63(5), pages 1365-1384, May.
    13. Ayadi, Mohamed A. & Lazrak, Skander & Liao, Yusui & Welch, Robert, 2018. "Performance of fixed-income mutual funds with regime-switching models," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 217-231.
    14. Cici, Gjergji & Zhang, Pei (Alex), 2021. "On the valuation skills of corporate bond mutual funds," CFR Working Papers 21-05, University of Cologne, Centre for Financial Research (CFR).
    15. Li, Yi, 2021. "Reciprocal lending relationships in shadow banking," Journal of Financial Economics, Elsevier, vol. 141(2), pages 600-619.
    16. Järvenpää, Maija & Paavola, Aleksi, 2021. "Investor monitoring, money-likeness and stability of money market funds," Bank of Finland Research Discussion Papers 2/2021, Bank of Finland.
    17. Moneta, Fabio, 2015. "Measuring bond mutual fund performance with portfolio characteristics," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 223-242.
    18. Drechsler, Itamar & Savov, Alexi & Schnabl, Philipp, 2022. "How monetary policy shaped the housing boom," Journal of Financial Economics, Elsevier, vol. 144(3), pages 992-1021.
    19. Otero-González, Luis & Leite, Paulo & Durán-Santomil, Pablo & Domingues, Renato, 2022. "Morningstar Star ratings and the performance, risk and flows of European bond mutual funds," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 479-496.
    20. Kim, Hugh Hoikwang, 2020. "Information spillover of bailouts," Journal of Financial Intermediation, Elsevier, vol. 43(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:acctfi:v:62:y:2022:i:2:p:2313-2338. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/aaanzea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.