Asset Fire Sales (and Purchases) in Equity Markets
利用1980至2003年共同基金因资金流动导致的交易数据，研究资产抛售对股价的压力，发现与受约束基金反向交易的投资者能获得显著收益，且未来交易可预测。
This paper examines asset fire sales, and institutional price pressure more generally, in equity markets, using market prices of mutual fund transactions caused by capital flows from 1980 to 2003. Funds experiencing large outflows (inflows) tend to decrease (increase) existing positions, which creates price pressure in the securities held in common by these funds. Forced transactions represent a significant cost of financial distress for mutual funds. We find that investors who trade against constrained mutual funds earn highly significant returns for providing liquidity when few others are willing or able. In addition, future flow-driven transactions are predictable, creating an incentive to front-run the anticipated forced trades by funds experiencing extreme capital flows.