Asset fire sales (and purchases) in equity markets

• 成果类型: Article
• 署名作者: Coval, Joshua; Stafford, Erik
• 署名单位: Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.09.007
• 发表日期: 2007
• 页码: 479-512
• 关键词: MUTUAL FUND FLOWS; liquidity; PRICE PRESSURE

摘要

This paper examines institutional price pressure in equity markets by studying mutual fund transactions caused by capital flows from 1980 to 2004. Funds experiencing large outflows tend to decrease existing positions, which creates price pressure in the securities held in common by distressed funds. Similarly, the tendency among funds experiencing large inflows to expand existing positions creates positive price pressure in overlapping holdings. Investors who trade against constrained mutual funds earn significant returns for providing liquidity. In addition, future flow-driven transactions are predictable, creating an incentive to front-run the anticipated forced trades by funds experiencing extreme capital flows. (c) 2007 Elsevier B.V. All rights reserved.