G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10536
DP10536 Fire Sales and Information Advantage: When Informed Investor Helps
Massimo Massa; Lei Zhang
发表日期2015-04-12
出版年2015
语种英语
摘要We study the relation between information and fire sales during a crisis. We argue that the reinforcing effect of funding liquidity on market liquidity is weaker when investors have more information about the assets facing sudden price drops (Brunnermeier and Pedersen, 2009). We focus on the affiliation of international asset managers with banking conglomerates. We document that bank affiliation provides an informational advantage. We show that (informed) bank-affiliated foreign ownership before the crisis predicts higher stock liquidity, lower extreme negative return realizations, lower short-selling demand, lower comovement (R2) with the market and higher price informativeness during the crisis.
主题Financial Economics
关键词Bank-affiliation Fire sales Global asset managers International crisis International liquidity. Transmission
URLhttps://cepr.org/publications/dp10536
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/539368
推荐引用方式
GB/T 7714
Massimo Massa,Lei Zhang. DP10536 Fire Sales and Information Advantage: When Informed Investor Helps. 2015.
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