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Article Dans Une Revue International Journal of Finance and Economics Année : 2023

Towards a macroprudential regulatory framework for mutual funds?

Résumé

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.
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Origine : Publication financée par une institution
Licence : CC BY NC ND - Paternité - Pas d'utilisation commerciale - Pas de modification

Dates et versions

hal-04103373 , version 1 (23-05-2023)

Licence

Paternité - Pas d'utilisation commerciale - Pas de modification

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Christos Argyropoulos, Bertrand Candelon, Jean-Baptiste Hasse, Ekaterini Panopoulou. Towards a macroprudential regulatory framework for mutual funds?. International Journal of Finance and Economics, inPress, ⟨10.1002/ijfe.2815⟩. ⟨hal-04103373⟩
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