Fallen Angels and Price Pressure

Posted: 21 May 2019

See all articles by Brent W. Ambrose

Brent W. Ambrose

Pennsylvania State University

Kelly Nianyun Cai

University of Michigan at Dearborn - School of Management

Jean Helwege

UC Riverside

Multiple version iconThere are 2 versions of this paper

Date Written: May 26, 2011

Abstract

We examine price pressure in a setting where trades occur because of regulations. Our study of fallen angel bond sales by insurance companies shows that price pressure is not significantly different from zero when information effects are absent. Our results confirm the prediction of several theoretical models that sellers will benefit from a higher price when they are able to separate themselves out to dealers as uninformed. We find that insurers do not attempt to hide their trades by selling bonds before they are downgraded, consistent with following a strategy of sunshine trading, as in Admati and Pfleiderer (1991).

Keywords: Price Pressure, Sunshine Trading, Informed Trader, Fallen Angel Bonds, Insurance Companies

JEL Classification: G10, G12

Suggested Citation

Ambrose, Brent W. and Cai, Kelly Nianyun and Helwege, Jean, Fallen Angels and Price Pressure (May 26, 2011). https://doi.org/10.3905/jfi.2012.2012.1.012. Available at SSRN: https://ssrn.com/abstract=1405490 or http://dx.doi.org/10.2139/ssrn.1405490

Brent W. Ambrose

Pennsylvania State University ( email )

University Park, PA 16802-3306
United States
814-867-0066 (Phone)
814-865-6284 (Fax)

Kelly Nianyun Cai

University of Michigan at Dearborn - School of Management ( email )

19000 Hubbard Dr.
Dearborn, MI 48126
United States

Jean Helwege (Contact Author)

UC Riverside ( email )

900 University Ave.
Anderson Hall
Riverside, CA 92521
United States
9518274284 (Phone)

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