Whose Asset Sales Matter?
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Summary:
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.
Series:
Working Paper No. 2024/168
Subject:
Asset and liability management Asset liquidity Asset management Asset prices Bonds Corporate bonds Financial institutions Hedge funds Liquidity Mutual funds Prices
Frequency:
regular
English
Publication Date:
August 2, 2024
ISBN/ISSN:
9798400287091/1018-5941
Stock No:
WPIEA2024168
Format:
Paper
Pages:
49
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