|
|
|
|
||||
|
||||
The Role of Equity Funds in the Financial Crisis PropagationHarald HauUniversity of Geneva - Geneva Finance Research Institute; Swiss Finance Institute; Centre for Economic Policy Research (CEPR); CESifo (Center for Economic Studies and Ifo Institute for Economic Research) Sandy LaiUniversity of Hong Kong May 31, 2013 WFA 2012 Las Vegas Meetings Paper Swiss Finance Institute Research Paper No. 11-35 Abstract: The early stage of the 2007/08 financial crisis was marked by large value losses for bank stocks. This paper identifies the equity funds most affected by this valuation shock and examines its consequences for the non-financial stocks owned by the respective funds. We find that (i) ownership links to these "distressed equity funds" lead to large underperformance of the most exposed non-financial stocks, and in aggregate this contributes an additional 10.5% to the overall stock market downturn; (ii) distressed fire sales and the associated price discounts are concentrated among those exposed stocks that perform relatively well; and (iii) stocks with higher fund ownership generally performed much better throughout the crisis.
Number of Pages in PDF File: 60 Keywords: Financial Crisis Propagation, Fire Sales, Mutual Funds JEL Classification: G11, G14, G23 working papers seriesDate posted: January 17, 2011 ; Last revised: June 1, 2013Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo2 in 0.516 seconds
