The Information in Asset Fire Sales (CEIBS Working Paper, No. 001/2020/FIN)

Sheng Huang, Matthew C. Ringgenberg, Joe Zhang

科研成果: 工作论文

18 下载量 (Pure)

摘要

Asset prices remain depressed for years following mutual fund fire sales. We show that price pressure from fire sales is partly due to asymmetric information. We separate trades into expected trades, which assume fund managers scale down their portfolio, and discretionary trades. We find that discretionary trades contain information about future returns, while expected trades do not. Moreover, other traders cannot distinguish between discretionary and expected trades. Our findings help explain the magnitude and persistence of fire sale discounts: fund managers choose which assets to sell and information asymmetries make it difficult for arbitrageurs to disentangle price pressure from negative fundamentals.
源语言英语
准备中 - 1 1月 2020

Source

China Europe International Business School (CEIBS)

关键词

  • adverse selection
  • asymmetric information
  • fire sales
  • slow moving capital

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