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Whose asset sales matter?

Author

Listed:
  • Bidder, Rhys

    (King’s Business School)

  • Coen, Jamie

    (Imperial College London)

  • Lepore, Caterina

    (International Monetary Fund)

  • Silvestri, Laura

    (Bank of England)

Abstract

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.

Suggested Citation

  • Bidder, Rhys & Coen, Jamie & Lepore, Caterina & Silvestri, Laura, 2024. "Whose asset sales matter?," Bank of England working papers 1088, Bank of England.
    • Handle: RePEc:boe:boeewp:1088
    as

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    File URL: https://www.bankofengland.co.uk/-/media/boe/files/working-paper/2024/whose-asset-sales-matter.pdf
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    More about this item

    Keywords

    Fire sales; liquidity; fixed income; financial stability;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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