Fourth Annual Conference on Financial Market Regulation (Archive)最新文献

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Selection into Informative Consumer Credit Markets 选择进入信息消费信贷市场
Fourth Annual Conference on Financial Market Regulation (Archive) Pub Date : 2018-06-25 DOI: 10.2139/ssrn.2879040
I. Liskovich, Maya Shaton
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引用次数: 1
Fire-Sale Spillovers in Debt Markets 债务市场的贱卖溢出效应
Fourth Annual Conference on Financial Market Regulation (Archive) Pub Date : 2016-12-20 DOI: 10.2139/ssrn.2887822
Antonio Falato, Ali Hortaçsu, Dan Li, Chaehee Shin
{"title":"Fire-Sale Spillovers in Debt Markets","authors":"Antonio Falato, Ali Hortaçsu, Dan Li, Chaehee Shin","doi":"10.2139/ssrn.2887822","DOIUrl":"https://doi.org/10.2139/ssrn.2887822","url":null,"abstract":"We assess fire-sale spillovers empirically using a new approach to measure network linkages across financial institutions and rich micro data for the universe of open-end fixed-income mutual funds. We find evidence that flows are interdependent across funds with asset class overlap, consistent with the hypothesis that one fund's redemptions may spill-over on to those of other funds by leading to distressed sales that adversely impact other funds' performance. We use several strategies to identify the causal link between any given fund's flows and those of its peers, including a regression discontinuity (RD) design that exploits sharp changes in peer flows around Morningstar 5-star ratings. The source of identification of our RD approach is quasi-random variation in peer flows around the arbitrary performance cutoffs used by Morningstar to assign their 5-star ratings, which is plausibly unrelated to changes in common industry fundamentals. Consistent with a fire-sale mechanism, not just fund flows, but also fund performance and liquidity, as well as the pricing of corporate bonds sold by funds under peer pressure, are adversely affected. Our approach yields simple measures of vulnerability of a fund family to system-wide flow pressures, which can be used for policy evaluation of alternative financial stability tools.","PeriodicalId":433769,"journal":{"name":"Fourth Annual Conference on Financial Market Regulation (Archive)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123874582","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 33
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