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...

Full description

Saved in:
Bibliographic Details
Main Authors: HUANG, Sheng, RINGGENBERG, Matthew C., ZHANG, Zhe
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Online Access: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
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.lkcsb_research-7211
record_format dspace
spelling 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
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic adverse selection
asymmetric information
fire sales
information economics
institutional investors
slow moving capital
Finance and Financial Management
spellingShingle 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
description 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.
format text
author HUANG, Sheng
RINGGENBERG, Matthew C.
ZHANG, Zhe
author_facet HUANG, Sheng
RINGGENBERG, Matthew C.
ZHANG, Zhe
author_sort HUANG, Sheng
title The information in asset fire sales
title_short The information in asset fire sales
title_full The information in asset fire sales
title_fullStr The information in asset fire sales
title_full_unstemmed The information in asset fire sales
title_sort information in asset fire sales
publisher Institutional Knowledge at Singapore Management University
publishDate 2019
url 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
_version_ 1770574645802565632