The information in asset fire sales
Asset prices remain depressed for several years following mutual fund fire sales. We show that this price pressure is partly due to asymmetric information which leads to an adverse selection problem for arbitrageurs. After a flow shock, fund managers do not scale down their portfolio, rather, they cho...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5894 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6893/viewcontent/Informed_Fire_Sale_Jan_2022.pdf |
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| Institution: | Singapore Management University |
| Language: | English |