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Do Fire Sales Create Externalities? / Sergey Chernenko, Adi Sunderam.
- Format:
- Book
- Author/Creator:
- Chernenko, Sergey.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25104.
- NBER working paper series no. w25104
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2018.
- Summary:
- We develop three novel measures of how much of the price impact of their trading different mutual funds internalize. We show that mutual funds that internalize more of their price impact hold larger cash buffers and use these buffers more aggressively to accommodate inflows and outflows. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the mutual fund industry.
- Notes:
- Print version record
- September 2018.
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