Tim Park, Ph.D.
Tim Park, Ph.D.
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Manager at Analysis Group in Denver, CO.
Extensive experience in finance-related litigation matters, including cryptocurrencies, securities class actions, market microstructure, fixed-income instruments, private equity funds, special purpose acquisition companies (SPACs), and transfer pricing disputes.
Ph.D. in Finance from the McCombs School of Business at the University of Texas at Austin.
Email: Tim.Park@analysisgroup.com
Research Papers
Natural Disasters and Municipal Bonds
(with Jun Kyung Auh, Jaewon Choi, and Tatyana Deryugina)
NBER Working Paper
2022 University of Oklahoma Energy and Climate Finance Research Conference, 2022 FIRS, 2022 CEMA, Federal Reserve Bank of San Francisco, Federal Reserve Bank of New York, Cornell University, 2024 WFA
Abstract: Climate change is increasing the frequency of natural disasters, which could make municipal bonds a riskier asset class. We study the effects of natural disasters on municipal bond returns, exploiting the repeat sales approach to overcome the challenge that municipal bonds trade extremely infrequently. We find substantial price effects that materialize gradually: returns of uninsured bonds fall slowly in the weeks following a disaster, by 0.31% on average, translating into investor losses of almost $10 billion. Source of bond revenue, bond insurance, disaster severity, federal disaster aid, and local financial conditions all affect the magnitude of the price effects.
Fragile Liquidity: Analysis of the Mutual Fund Liquidity Risk Management Rule
2021 WFA PhD Candidate Award for Outstanding Research
2020 SWFA, 2021 WFA, 2021 SFA
Abstract: I study unintended consequences of the Liquidity Risk Management Rule adopted by the SEC in 2016. The rule imposes an upper bound for illiquid assets and a lower bound for liquid assets in mutual fund portfolios. In response to the regulation, corporate bond mutual funds shift their portfolios toward liquid corporate bonds. The ownership shift to liquid corporate bonds decreases the performance of funds and increases the comovement among the underlying liquid assets. Higher comovement among liquid corporate bonds increases the volatility in liquid corporate bond funds. However, I find little evidence of stabilized fund flows. Overall, reducing fragility in mutual funds using portfolio constraints has unintended consequences.
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