全球智库信息集成服务系统(G2TT): Do Fire Sales Create Externalities?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w25104
来源ID	Working Paper 25104
	Do Fire Sales Create Externalities?
	Sergey Chernenko; Adi Sunderam
发表日期	2018-10-01
出版年	2018
语种	英语
摘要	We develop three novel measures of how much of the price impact of their trading different mutual funds internalize. We show that mutual funds that internalize more of their price impact hold larger cash buffers and use these buffers more aggressively to accommodate inflows and outflows. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the mutual fund industry.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions
URL	https://www.nber.org/papers/w25104
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/582777
推荐引用方式 GB/T 7714	Sergey Chernenko,Adi Sunderam. Do Fire Sales Create Externalities?. 2018.