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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.