Similar Investors

70 Pages Posted: 9 Oct 2018 Last revised: 19 Mar 2023

See all articles by Co-Pierre Georg

Co-Pierre Georg

EDHEC Business School

Diane Pierret

Universite du Luxembourg - Luxembourg School of Finance; Centre for Economic Policy Research (CEPR)

Sascha Steffen

Frankfurt School of Finance & Management

Date Written: March 19, 2023


With the failure of Silicon Valley Bank in March 2023, the concentration risk in bank liabilities has come under scrutiny. We use detailed security-level holdings of U.S. Money Market Mutual Funds (MMFs) that fund banks to introduce a novel measure of portfolio similarity among investors. Our findings suggest that MMFs actively manage their asset holdings based on the similarity of their portfolios with those of other investors. Specifically, when portfolios are more similar, investors are less likely to roll over investments, anticipating higher expected joint liquidation costs when portfolios are more similar. At the issuer bank level, the average similarity of its investors' portfolios is a reliable predictor of the bank’s total funding in the following period. Importantly, banks are unable to fully compensate for the loss of funding when similar investors withdraw.

Keywords: concentration risk, institutional investors, liquidity risk, wholesale funding.

JEL Classification: G1, G21

Suggested Citation

Georg, Co-Pierre and Pierret, Diane and Steffen, Sascha, Similar Investors (March 19, 2023). Available at SSRN: or

Co-Pierre Georg (Contact Author)

EDHEC Business School ( email )

58 rue du Port
Lille, 59046

Diane Pierret

Universite du Luxembourg - Luxembourg School of Finance ( email )

162a, avenue de la Faïencerie
Luxembourg-Limpertsberg, L-1511

Centre for Economic Policy Research (CEPR) ( email )

United Kingdom

Sascha Steffen

Frankfurt School of Finance & Management ( email )

Frankfurt, 60322
16097326929 (Phone)


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