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Payoff complementarities and financial fragility: Evidence from mutual fund outflows

✍ Scribed by Qi Chen; Itay Goldstein; Wei Jiang


Book ID
113711237
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
516 KB
Volume
97
Category
Article
ISSN
0304-405X

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Using a unique data set of detailed balance sheet information on mutual funds, we find that most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns. However, there exist two types of funds that make more extensive use of derivatives, global fu