Asset fire sales (and purchases) in equity markets

被引：667

作者：

Coval, Joshua ^{[1
]}

Stafford, Erik ^{[1
]}

机构：

[1] Harvard Univ, Boston, MA 02163 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2007年 / 86卷 / 02期

关键词：

mutual fund flows; liquidity; price pressure;

D O I：

10.1016/j.jfineco.2006.09.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：479 / 512

页数：34

共 32 条

[21] A SIMPLE-MODEL OF CAPITAL-MARKET EQUILIBRIUM WITH INCOMPLETE INFORMATION [J].