全球智库信息集成服务系统(G2TT): Asset Fire Sales (and Purchases) in Equity Markets

G2TT

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.