Whose Asset Sales Matter?

Whose Asset Sales Matter?
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Volume/Issue: Volume 2024 Issue 168
Publication date: August 2024
ISBN: 9798400287091
$20.00
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Topics covered in this book

This title contains information about the following subjects. Click on a subject if you would like to see other titles with the same subjects.

Finance , fire sales , liquidity , fixed income , financial stability , asset sale , price impact , traders' sale , sales by dealer , noise trader , pressure measure , Bonds , Hedge funds , Mutual funds , Sovereign bonds

Summary

Using novel data on bond trading in the UK, we develop a new measure of selling pressure that can be applied to any trader. We identify exogenous selling pressure in a bond using traders’ sales of other, unrelated bonds.The price impact of a sale depends on who is selling: sales by dealers and hedge funds generate significantly larger impacts than equally sized sales by other investors. We rationalise our findings using a model of differentially informed investors. All else equal, our results suggest that more attention should be devoted to risks to financial stability from these impactful sellers.