Online seminar – Bond returns and the trading of large mutual funds

Mariassunta Giannetti, Professor of Finance, Stockholm School of Economics

We show that mutual funds with a large share of a bond issue sell their holdings of that issue to a lower extent when they experience redemptions, arguably because they attempt to avoid a drop in the bond price and the consequent negative feedback effects on the unsold part of their position. As a consequence, bond issues with more concentrated ownership experience higher returns during periods of turmoil and have lower price volatility. We provide evidence that the stabilising trading of bond funds with a large share of an outstanding issue can help explain how the intervention of the Fed in the corporate bond market through the Secondary Market Corporate Credit Facility quickly stabilised both eligible and ineligible bonds.

Speaker bio

Mariassunta Giannetti is a professor of Finance at the Stockholm School of Economics, a CEPR research fellow, and a research associate of the ECGI. Professor Giannetti serves or has been serving as associate editor of several journals, including the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Review of Finance, the Journal of Corporate Finance, Financial Management, the Journal of Banking and Finance, the Journal of Financial Stability, and European Financial Management and as a director of the European Finance Association, the Financial Intermediation Research Society, and the Financial Management Association.

Professor Giannetti has broad research interests in corporate finance and financial intermediation. She has been honoured with a number of prestigious international awards including the Review of Finance Pagano-Zechner Prize, the NYU Stern/Imperial/Fordham Rising Star in Finance award, the Sun Yefang Financial Innovation Award, the ECGI Standard Life Investments Finance Prize, and the Assar Lindbeck Medal. She is also the recipient of the Journal of Financial Intermediation best paper award, the ECB Lamfalussy Research Fellowship, the ECB Duisenberg Fellowship, and the Stockholm School of Economics Annual Research award. She has published widely cited research in leading journals in Finance, Economics, and Management, including the Journal of Political Economy, the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the American Economic Review, the Journal of Financial and Quantitative Analysis, the Review of Finance, and Management Science.

She holds a PhD in Economics from the University of California, Los Angeles and completed her BA and MSc at Bocconi University (Italy).

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Meeting ID: 868 6554 9117
Password: 437175

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