Superman in the Dark:Trading Behavior of the Chinese National Social Security Fund

In this paper we analyze the trading behavior of the China National Social Security Fund (CNSSF). We show that the CNSSF adopts a rebalancing strategy that maintains both portfolio liquidity and growth opportunities. Further, we find direct and indirect evidence that the CNSSF provides liquidity for distressed mutual funds. This liquidity provision can be primarily explained by public information quality. Most notably, CNSSF can profit by assisting distressed mutual funds, especially if such liquidity provision relates to private information.

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