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n our paper, we exploit the differential impact of the SEC reform on the different segments of the MMF industry as a quasi-natural experiment to estimate the premium investors are willing to pay for money-likeness. In particular, we look at the difference between the net yield offered by prime MMFs and that offered by government MMFs (the net-yield spread) and test whether such difference increased around the implementation of the reform (that is, we employ a difference-in-differences approach). Holding everything else constant, if investors value the money-likeness of their MMF shares, we expect the net-yield spread between prime and government MMFs to widen, and to do so to a greater extent for institutional funds.
This is indeed what happened!
From The Premium for Money-Like Assets Liberty Street Economics.
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