Whose Asset Sales Matter?
49 Pages Posted: 12 Aug 2024
There are 2 versions of this paper
Whose Asset Sales Matter?
Whose Asset Sales Matter?
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: Suggested Citation