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Asset Allocation Behavior of Institutional Investors in Money Market Securities

The behavior of institutional investors in money market securities, as exemplified by changes in assets allocated to money market mutual funds, is examined using a unique transaction data set and partial adjustment framework in order to validate fund managers and traders expectations. Individual transaction data is aggregated and separated into a low and high frequency component. The low frequency component is modeled as depending on monthly changes in an interest rate proxy followed by fund managers. The high frequency component is modeled as depending on certain date sets that have been observed by fund traders to correspond to consistently pronounced cash flows. Estimation of model coefficients confirms fund managers and traders expectations regarding investor behavior, in general. However, very significant differences are seen from fund to fund and from one estimation interval to another.