The information in asset fire sales
Duplicate record, see https://ink.library.smu.edu.sg/lkcsb_research/5894/. Asset prices remain depressed for several years following mutual fund fire sales. We show that price pressure from fire sales is partly due to asymmetric information which leads to an adverse selection problem for arbitrageur...
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sg-smu-ink.lkcsb_research-72112020-06-16T03:23:43Z The information in asset fire sales HUANG, Sheng RINGGENBERG, Matthew C. ZHANG, Zhe Duplicate record, see https://ink.library.smu.edu.sg/lkcsb_research/5894/. Asset prices remain depressed for several years following mutual fund fire sales. We show that price pressure from fire sales 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 choose to sell a subset of low-quality stocks that subsequently underperform. In other words, fund managers have selling skill. Our findings suggest an explanation for the tendency of asset prices to remain depressed following fire sales: information asymmetries make it difficult for arbitrageurs to disentangle pure price pressure from negative information. 2019-06-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6212 info:doi/10.2139/ssrn.2735172 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7211/viewcontent/Asset_Fire_Sale_2019_wp.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University adverse selection asymmetric information fire sales information economics institutional investors slow moving capital Finance and Financial Management |
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adverse selection asymmetric information fire sales information economics institutional investors slow moving capital Finance and Financial Management HUANG, Sheng RINGGENBERG, Matthew C. ZHANG, Zhe The information in asset fire sales |
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Duplicate record, see https://ink.library.smu.edu.sg/lkcsb_research/5894/. Asset prices remain depressed for several years following mutual fund fire sales. We show that price pressure from fire sales 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 choose to sell a subset of low-quality stocks that subsequently underperform. In other words, fund managers have selling skill. Our findings suggest an explanation for the tendency of asset prices to remain depressed following fire sales: information asymmetries make it difficult for arbitrageurs to disentangle pure price pressure from negative information. |
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HUANG, Sheng RINGGENBERG, Matthew C. ZHANG, Zhe |
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HUANG, Sheng RINGGENBERG, Matthew C. ZHANG, Zhe |
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HUANG, Sheng |
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The information in asset fire sales |
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The information in asset fire sales |
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The information in asset fire sales |
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The information in asset fire sales |
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The information in asset fire sales |
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information in asset fire sales |
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Institutional Knowledge at Singapore Management University |
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2019 |
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https://ink.library.smu.edu.sg/lkcsb_research/6212 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7211/viewcontent/Asset_Fire_Sale_2019_wp.pdf |
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