| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16191 |
| 来源ID | Working Paper 16191 |
| The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008 | |
| Alberto Manconi; Massimo Massa; Ayako Yasuda | |
| 发表日期 | 2010-07-15 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with high exposure to securitized bonds and liquidity needs experience greater selling pressure and price declines (yield increases) at the onset of the crisis. We further test predictions of a model of dynamic asset liquidation: Investors with large enough future liquidity shocks retain liquid assets, and instead sell assets that have relatively high temporary price impacts of trading. Mutual funds with higher sensitivity of pay to performance held higher portions of their portfolios in securitized bonds prior to the crisis. After the onset of the crisis, these funds did not sell securitized bonds on average and instead sold corporate bonds to meet their liquidity needs. Sales rose and yield spreads widened more for those corporate bonds whose mutual fund holders' portfolios were more heavily exposed to securitized bonds, compared to same-issuer bonds held by unexposed funds. Shorter-horizon mutual funds liquidated greater portions of their corporate bond holdings and in particular lower-rated bonds. In contrast, insurance companies sold little regardless of their exposure as long as they were above the minimum capital ratio threshold. These findings suggest that short-horizon mutual funds with high exposure to securitized bonds played a role in transmitting the crisis from securitized bonds to corporate bonds. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w16191 |
| 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/573865 |
| 推荐引用方式 GB/T 7714 | Alberto Manconi,Massimo Massa,Ayako Yasuda. The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16191.pdf（914KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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