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行为金融学经典文献:Asset fire sales (and purchases) in equity markets

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Journal of Financial Economics 86 (2007) 479–512

 

Asset fire sales (and purchases) in equity markets


Joshua Coval, Erik Stafford


Harvard University, Boston, MA 02163, USA


Received 29 November 2005; received in revised form 23 August 2006; accepted 26 September 2006
Available online 1 July 2007


Abstract


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 flowdriven transactions are predictable, creating an incentive to front-run the anticipated forced trades by funds experiencing extreme capital flows.

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