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Whose Asset Sales Matter?
Author:
Rhys M. Bidder
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,
Jamie Coen
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,
Caterina Lepore
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Laura Silvetri
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Series:
IMF Working Papers
Volume/Issue:
Volume 2024: Issue 168
Language:
English
Publication Date:
02 Aug 2024
DOI:
https://doi.org/10.5089/9798400287091.001
ISBN:
9798400287091
ISSN:
1018-5941
Pages:
49
Keywords:
fire sales; liquidity; fixed income; financial stability; asset sale; price impact; traders' sale; sales by dealer; noise trader; pressure measure; Bonds; Hedge funds; Mutual funds; Sovereign bonds
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Using novel data on bond trading in the UK, we develop a new measure of selling pressure that can be applied to any trader. We identify exogenous selling pressure in a bond using traders’ sales of other, unrelated bonds.The price impact of a sale depends on who is selling: sales by dealers and hedge funds generate significantly larger impacts than equally sized sales by other investors. We rationalise our findings using a model of differentially informed investors. All else equal, our results suggest that more attention should be devoted to risks to financial stability from these impactful sellers.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund