Destabilizing Financial Advice: Evidence from Pension Fund Reallocations

• 成果类型: Article
• 署名作者: Da, Zhi; Larrain, Borja; Sialm, Clemens; Tessada, Jose
• 署名单位: University of Notre Dame; Pontificia Universidad Catolica de Chile; University of Texas System; University of Texas Austin; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy011
• 发表日期: 2018
• 页码: 3720
• 关键词: DEMAND CURVES; cross-section; Investor sentiment; portfolio choice; Media coverage; OPEN-END; FLOWS; stocks; IMPACT; performance

摘要

We document a novel channel through which coordinated trading exerts externalities on financial markets. We study the impact of a financial advisory firm that recommends frequent reallocations between equity and bond funds to Chilean pension investors. The recommendations generate large and coordinated fund flows that are exacerbated by the strategic complementarity arising from fund trading restrictions. The recommendations generate significant price pressure and increased volatility in the stock market. In response to these large trade flows, pension funds shift their allocations to more liquid securities. Our findings suggest that giving retirement savers unconstrained reallocation opportunities can destabilize financial markets.