Are retail prime money market fund investors increasingly more sensitive to stress events?

RePEc Short ID: plu263
ORCID iD: 0000-0003-0077-9547

Anadu, Kenechukwu E.; Levin, John; Lu, Lina; Malfroy-Camine, Antoine; Oefele, Nico

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Are retail prime money market fund investors increasingly more sensitive to stress events?

Abstract: In this note, we examine the redemption activity of retail investors in prime money market funds, over two stress periods in 2008 and 2020. We find that, on average, retail investors’ redemptions during 2020’s stress period were substantially larger than those from 2008’s.

Keywords: financial stability; prime money market; mutual funds; runs; liquidity transformation;