| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10536 |
| 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 |
| URL | https://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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