Argyropoulos, Christos and Candelon, Bertrand and Hasse, Jean-Baptiste and Panopoulou, Ekaterini (2023) Towards a Macroprudential Regulatory Framework for Mutual Funds. International Journal of Finance and Economics, 29 (3). pp. 3063-3082. DOI https://doi.org/10.1002/ijfe.2815
Argyropoulos, Christos and Candelon, Bertrand and Hasse, Jean-Baptiste and Panopoulou, Ekaterini (2023) Towards a Macroprudential Regulatory Framework for Mutual Funds. International Journal of Finance and Economics, 29 (3). pp. 3063-3082. DOI https://doi.org/10.1002/ijfe.2815
Argyropoulos, Christos and Candelon, Bertrand and Hasse, Jean-Baptiste and Panopoulou, Ekaterini (2023) Towards a Macroprudential Regulatory Framework for Mutual Funds. International Journal of Finance and Economics, 29 (3). pp. 3063-3082. DOI https://doi.org/10.1002/ijfe.2815
Abstract
This paper highlights the procyclical and unstable behaviour of mutual funds, characterized by a varying sensitivity on common asset pricing factors. It proposes a novel factor model that allows for regime changes associated with macroeconomic and financial state variables. Estimated on a panel covering 825 US equity mutual funds over a period of 30 years, it appears that the yield curve, the dividend yield, short term interest rates and the industrial production coincide with regimes switches in the Fama–French factors. Furthermore, the estimated regimes coincide with financial crises and economic downturns, thus confirming the procyclical behaviour of mutual funds' returns. These findings, coupled with the emerging systemic role of mutual funds, promote the consideration for a specific macroprudential regulatory framework targeted at the mutual fund industry.
Item Type: | Article |
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Uncontrolled Keywords: | financial stability; macroprudential framework; mutual fund industry; regulation |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 19 Jul 2023 13:48 |
Last Modified: | 18 Jul 2024 05:14 |
URI: | http://repository.essex.ac.uk/id/eprint/35258 |
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