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Whose Asset Sales Matter?

Author

Listed:
  • Rhys M. Bidder
  • Jamie Coen
  • Caterina Lepore
  • Laura Silvetri

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

  • Rhys M. Bidder & Jamie Coen & Caterina Lepore & Laura Silvetri, 2024. "Whose Asset Sales Matter?," IMF Working Papers 2024/168, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2024/168
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