The Information in Asset Fire Sales
References
- (1988) A theory of intraday patterns: Volume and price variability. Rev. Financial Stud. 1(1):3–40.Crossref, Google Scholar
- (1970) The market for “lemons”: Quality uncertainty and the market mechanism. Quart. J. Econom. 84(3):488–500.Crossref, Google Scholar
- (2020) How do short sellers interact with other professional investors? Evidence from the daily trades of active fund managers. Working paper, Stanford University, Stanford, CA.Google Scholar
- (2010) Liquidity biases in asset pricing tests. J. Financial Econom. 96(2):215–237.Crossref, Google Scholar
- (2019) Brokers and order flow leakage: Evidence from fire sales. J. Finance 74(6):2707–2749.Crossref, Google Scholar
- (2022) Selection bias in mutual fund fire sales. J. Financial Quant. Anal. Forthcoming.Google Scholar
- (2008) Which shorts are informed? J. Finance 63(2):491–527.Crossref, Google Scholar
- (2016) Horizon effects in average returns: The role of slow information diffusion. Rev. Financial Stud. 29(8):2241–2281.Crossref, Google Scholar
- (2011) Forced sales and house prices. Amer. Econom. Rev. 101(5):2108–2131.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2007) Asset fire sales (and purchases) in equity markets. J. Financial Econom. 86(2):479–512.Crossref, Google Scholar
- (2011) Fear of fire sales, illiquidity seeking, and credit freezes. Quart. J. Econom. 126(2):557–591.Crossref, Google Scholar
- (2018) The paradox of financial fire sales: The role of arbitrage capital in determining liquidity. J. Finance 73(1):229–274.Crossref, Google Scholar
- (1998) Consistent covariance matrix estimation with spatially dependent panel data. Rev. Econom. Statist. 80(4):549–560.Crossref, Google Scholar
- (2013) Front-running of mutual fund fire-sales. J. Banking Finance 37(12):4931–4942.Crossref, Google Scholar
- (2012) The real effects of financial markets: The impact of prices on takeovers. J. Finance 67(3):933–971.Crossref, Google Scholar
- (2011) Regulatory pressure and fire sales in the corporate bond market. J. Financial Econom. 101(3):596–620.Crossref, Google Scholar
- (2012) How are shorts informed? Short sellers, news, and information processing. J. Financial Econom. 105(2):260–278.Crossref, Google Scholar
- (2010) Luck vs. skill in the cross-section of mutual fund returns. J. Finance 65(5):1915–1947.Crossref, Google Scholar
- (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
- (1984) Earnings releases, anomalies and the behavior of security returns. Accounting Rev. 59(4):574–603.Google Scholar
- (2002) Equilibrium and welfare in markets with financially constrained arbitrageurs. J. Financial Econom. 66(2–3):361–407.Crossref, Google Scholar
- (2016) Public information and uninformed trading: Implications for market liquidity and price efficiency. J. Econom. Theory 163(May):604–643.Crossref, Google Scholar
- (2014) Price pressures. J. Financial Econom. 114(3):405–423.Crossref, Google Scholar
- (2014) Information content when mutual funds deviate from benchmarks. Managemeent Sci. 60(8):238–253.Google Scholar
- (2012) Asset fire sales and purchases and the international transmission of funding shocks. J. Finance 67(6):2015–2050.Crossref, Google Scholar
- (1995) Differential interpretation of public signals and trade in speculative markets. J. Political Econom. 103(4):831–872.Crossref, Google Scholar
- (2010) Short sellers and financial misconduct. J. Finance 65(5):1879–1913.Crossref, Google Scholar
- (2012) Mutual fund trading pressure: Firm-level stock price impact and timing of SEOs. J. Finance 67(4):1371–1395.Crossref, Google Scholar
- (1994) Market liquidity and volume around earnings announcements. J. Accounting Econom. 17(1–2):41–67.Crossref, Google Scholar
- (2016) Asset markets with heterogeneous information. Econometrica 84(1):33–85.Crossref, Google Scholar
- (2022) Investment externalities in models of fire sales. J. Monetary Econom. Forthcoming.Google Scholar
- (2006) Comparing the post-earnings announcement drift for surprises calculated from analyst and time series forecasts. J. Accounting Res. 44(1):177–205.Crossref, Google Scholar
- (2008) Inefficient credit booms. Rev. Econom. Stud. 75(3):809–833.Crossref, Google Scholar
- (2014) Self-fulfilling liquidity dry-ups. J. Finance 69(2):947–970.Crossref, Google Scholar
- (2021) Were there fire sales in the RMBS market? J. Monetary Econom. 122(September):17–37.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Crossref, Google Scholar
- (2016) A taxonomy of anomalies and their trading costs. Rev. Financial Stud. 29(1):104–147.Crossref, Google Scholar
- (1998) Do asset fire sales exist? An empirical investigation of commercial aircraft transactions. J. Finance 53(3):939–978.Crossref, Google Scholar
- (2016) Aggregate short interest and return predictability. J. Financial Econom. 121(1):46–65.Crossref, Google Scholar
- (1993) On price recognition and computational complexity in a monopolistic model. J. Political Econom. 101(3):473–484.Crossref, Google Scholar
- (1993) Short-sale restrictions and market reaction to short-interest announcements. J. Financial Quant. Anal. 28(2):177–194.Crossref, Google Scholar
- (2012) Are mutual fund sitting ducks? J. Financial Econom. 107(1):220–237.Crossref, Google Scholar
- (1992) Liquidation values and debt capacity: A market equilibrium approach. J. Finance 47(4):1343–1366.Crossref, Google Scholar
- (1997) The limits of arbitrage. J. Finance 52(1):35–55.Crossref, Google Scholar
- (2011) Fire sales in finance and macroeconomics. J. Econom. Perspect. 25(1):29–48.Crossref, Google Scholar
- (2013) Cash holdings and mutual fund performance. Rev. Finance 18(4):1425–1464.Crossref, Google Scholar
- (2015) Once burned, twice shy: Money market fund responses to a systemic liquidity shock. J. Financial Quant. Anal. 50(1/2):119–144.Crossref, Google Scholar
- (2020) Measuring mutual fund flow pressure as shock to stock returns. J. Finance 75(6):3221–3243.Crossref, Google Scholar
- (1988) Corporate finance and corporate governance. J. Finance 43(3):567–591.Crossref, Google Scholar

