does anyone know where i can find research reports/models on the behavior of deposit customers who have options to redeem their investments? there seem to be tons of articles on prepayment behavior of customers but none of redemption behavior. any ideas? thx.
Have you looked at fund inflows/outflow data?
thanks flynnch. i have been looking at the data and doing my own analysis but i kind of wanted to be able to see what kind of results others come up with. what methodologies they employ. etc.
www.ific.ca I know Canadian data is avaliabe at the above. The journal of indexes also looked promising when I reviewed it. http://www.indexuniverse.com/publications/journalofindexes.html
thanks flynnch will check these out.
There was a paper done on this recently. Less liquid funds tend to fair the worst with regard to fund flows in a contraction due to the “payoff complementarities”. Below are links to an article about the paper and the paper itself. The paper is pretty short, so you are probably best off just reading that. Article http://www.upenn.edu/researchatpenn/article.php?1567&bus Paper http://fic.wharton.upenn.edu/fic/papers/07/0716.pdf