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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w11357 |
来源ID | Working 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 |
URL | https://www.nber.org/papers/w11357 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568996 |
推荐引用方式 GB/T 7714 | Joshua D. Coval,Erik Stafford. Asset Fire Sales (and Purchases) in Equity Markets. 2005. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w11357.pdf(432KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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