Whose Asset Sales Matter?

49 Pages Posted: 12 Aug 2024

See all articles by Rhys M. Bidder

Rhys M. Bidder

King’s College London

Jamie Coen

Imperial College London

Caterina Lepore

International Monetary Fund (IMF)

Laura Silvestri

Bank of England

Multiple version iconThere are 2 versions of this paper

Abstract

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.

Keywords: fire sales, liquidity, fixed income, financial stability

JEL Classification: G10, G12, G21, G23

Suggested Citation

Bidder, Rhys M. and Coen, Jamie and Lepore, Caterina and Silvestri, Laura, Whose Asset Sales Matter?. IMF Working Paper No. 2024/168, Available at SSRN: https://ssrn.com/abstract=4918789 or http://dx.doi.org/10.5089/9798400286377.001

Rhys M. Bidder (Contact Author)

King’s College London ( email )

Strand
London, England WC2R 2LS
United Kingdom

Jamie Coen

Imperial College London ( email )

South Kensington Campus
Exhibition Road
London, SW7 2AZ
United Kingdom

Caterina Lepore

International Monetary Fund (IMF) ( email )

Kuwait

Laura Silvestri

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

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