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来源类型Working Paper
规范类型报告
DOI10.3386/w11357
来源IDWorking Paper 11357
Asset Fire Sales (and Purchases) in Equity Markets
Joshua D. Coval; Erik Stafford
发表日期2005-05-23
出版年2005
语种英语
摘要This paper examines asset fire sales, and institutional price pressure more generally, in equity markets, using market prices of mutual fund transactions caused by capital flows from 1980 to 2003. Funds experiencing large outflows (inflows) tend to decrease (increase) existing positions, which creates price pressure in the securities held in common by these funds. Forced transactions represent a significant cost of financial distress for mutual funds. We find that investors who trade against constrained mutual funds earn highly significant returns for providing liquidity when few others are willing or able. In addition, future flow-driven transactions are predictable, creating an incentive to front-run the anticipated forced trades by funds experiencing extreme capital flows.
主题Financial Economics ; Financial Markets ; Corporate Finance ; Financial Institutions
URLhttps://www.nber.org/papers/w11357
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/568996
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GB/T 7714
Joshua D. Coval,Erik Stafford. Asset Fire Sales (and Purchases) in Equity Markets. 2005.
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