Fire‐Sale Spillovers in Debt Markets
研究发现，投资者赎回导致的火灾甩卖会在持有相同资产的基金间产生强烈溢出效应，损害同行基金业绩和资金流，并增加债券价格大幅下跌的风险。
ABSTRACT Fire sales induced by investor redemptions have powerful spillover effects among funds that hold the same assets, hurting peer funds' performance and flows, and leading to further asset sales with negative bond price impact. A one‐standard‐deviation increase in our fire‐sale spillover measure leads to a 45 (90) bp decrease in peer fund returns (flows) and a two percentage point increase in the likelihood of a large bond price drop. The results hold in a regression‐discontinuity design addressing identification concerns. Timing, heterogeneity, instrumental‐variable, and placebo tests further support the price‐impact mechanism. Model‐based counterfactual and stress‐test analyses quantify the financial stability implications.