We document aggregate outflows from corporate bond mutual funds days before and after the announcement of increases in the Federal Funds Target rate (FFTar). To rationalize this phenomenon, we build a model in which funds’ net-asset-values (NAVs) are stale and investors strategically redeem to profit from the mispricing when they learn about the increases of FFTar. Consistent with the model’s predictions, we find that stale NAVs and loose monetary policy environments weaken (strengthen) outflows sensitivity to increases in FFTar during illiquid (liquid) market conditions. Our results highlight when and how monetary policy could systematically exacerbate the fragility of corporate bond funds.

中文翻译：

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货币政策与公司债券共同基金的脆弱性


我们记录了联邦基金目标利率 (FFTar) 上调前后几天公司债券共同基金的总资金流出情况。为了使这种现象合理化，我们建立了一个模型，其中基金的净资产值（NAV）是陈旧的，当投资者得知 FFTar 上涨时，他们会战略性地赎回，以从错误定价中获利。与模型的预测一致，我们发现，在非流动性（流动性）市场条件下，陈旧的资产净值和宽松的货币政策环境会削弱（加强）资金流出对 FFTar 增加的敏感性。我们的研究结果凸显了货币政策何时以及如何系统性地加剧公司债券基金的脆弱性。