Replication data for: Runs on Money Market Mutual Funds

Name: Replication data for: Runs on Money Market Mutual Funds
Published: 2016-09-01
License: This work is licensed under an Other license created by the data depositor. Please refer to the LICENSE file, which should be located alongside the project data and documentation.

Principal Investigator(s): View help for Principal Investigator(s) Lawrence Schmidt; Allan Timmermann; Russ Wermers

Version: View help for Version V1

Name	File Type	Size	Last Modified
Replication_kit			10/26/2021 01:10:PM
LICENSE.txt	text/plain	14.6 KB	12/06/2019 12:05:PM

Project Citation:

Schmidt, Lawrence, Timmermann, Allan, and Wermers, Russ. Replication data for: Runs on Money Market Mutual Funds. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-06. https://doi.org/10.3886/E116157V1

Project Description

Summary: We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio.

Scope of Project

Subject Terms: Strategic Complementarities; Ficial Intermediation; Ficial Stability; Money Market Funds; Ficial Crisis

JEL Classification:
      D14 Household Saving; Personal Finance
      G11 Portfolio Choice; Investment Decisions
      G23 Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors

Geographic Coverage: United States

Time Period(s): 6/1/2008 – 12/31/2008 (2008 Ficial Crisis)

Universe: US Money Market Mutual Funds

Data Type(s): observational data; aggregate data

Methodology

Data Source: Includes daily flows to and from money market funds (from iMoneyNet) around Lehman Brothers failure

Unit(s) of Observation: Fund-date, Fund-shareclass-date,

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V1 [2019-12-06]

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This work is licensed under an Other license created by the data depositor. Please refer to the LICENSE file, which should be located alongside the project data and documentation.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.