Selection Bias in Mutual Fund Fire Sales
研究发现，利用共同基金资金外流后的流动性交易作为工具变量时，假设经理按组合权重出售股票会导致选择偏差，使回归系数翻倍，需重新评估相关研究。
Abstract Liquidity trading following mutual fund outflows creates a potentially powerful empirical setting in which stock price variation is unrelated to changes in firm fundamentals. Instrumental variables (IVs) drawn from this setting impose an additional assumption that managers sell firms in proportion to portfolio weights. I show that this assumption causes selection bias in these IVs. It misallocates large price impacts to poorly performing, illiquid firms with lower growth – firms that managers systematically avoid selling. Simulations show that selection bias doubles the magnitude of regression coefficients and precludes potential fixes. Numerous recent studies exploiting these IVs should be reevaluated.