This paper examines how mutual fund investors’ demand for liquidity provision endogenously affects stock liquidity in the equity market. We find that actively managed funds in the US tend to hold less liquidity than their respective benchmarks, which leads them to rely on only a small fraction of liquid stocks when it comes to liquidity demand. Using mutual fund sell transactions, we further show that mutual funds tend to sell more liquid stocks in their holdings when experiencing outflows. Concentrated sales of liquid stocks, however, significantly reduce the liquidity of these stocks, resulting in liquidity deterioration or dry-up among highly liquid stocks in periods of high market-wide liquidity demand. Overall, the results indicate that mutual funds fail to predict the liquidity of the asset at purchase.

本文研究了共同基金投资者对流动性供应的需求如何内生地影响股票市场的股票流动性。我们发现美国主动管理型基金的流动性往往低于各自的基准，这导致它们在流动性需求方面仅依赖一小部分流动性股票。使用共同基金卖出交易，我们进一步表明，共同基金在经历资金流出时倾向于出售其持有的流动性更强的股票。然而，流动性股票的集中销售大大降低了这些股票的流动性，导致高流动性股票在市场流动性需求旺盛时期流动性恶化或枯竭。总体而言，结果表明共同基金无法预测购买时资产的流动性。