| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25040 |
| 来源ID | Working Paper 25040 |
| Leverage-Induced Fire Sales and Stock Market Crashes | |
| Jiangze Bian; Zhiguo He; Kelly Shue; Hao Zhou | |
| 发表日期 | 2018-09-17 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level leverage edges toward their maximum leverage limits, controlling for stock-date and account fixed effects. Stocks that are disproportionately held by accounts close to leverage limits experience high selling pressure and abnormal price declines which subsequently reverse. Unregulated shadow-financed margin accounts, facilitated by FinTech lending platforms, contributed more to the crash despite their smaller asset holdings relative to regulated brokerage accounts. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w25040 |
| 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/582714 |
| 推荐引用方式 GB/T 7714 | Jiangze Bian,Zhiguo He,Kelly Shue,et al. Leverage-Induced Fire Sales and Stock Market Crashes. 2018. |
| 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 | ||
| w25040.pdf（1472KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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