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- W2753231718 abstract "Trading pressure following mutual fund outflows generates a potentially powerful quasi-experimental setting in which stock price variation is orthogonal to firm characteristics. To exclude information-based trading, strategies using this variation incorporate an assumption that managers sell firms in proportion to portfolio weights. I show that this assumption drives selection bias in price fluctuations. It inflates price impacts for poorly performing, illiquid firms with lower growth – firms that managers systematically avoid selling. Results drawn using these prices are twice the magnitude of unbiased results. Extensive selection bias precludes potential fixes. Numerous recent studies exploiting this variation should be re-evaluated." @default.
- W2753231718 created "2017-09-15" @default.
- W2753231718 creator A5037479451 @default.
- W2753231718 date "2017-01-01" @default.
- W2753231718 modified "2023-10-18" @default.
- W2753231718 title "Does Stock Mispricing Drive Firm Policies? Mutual Fund Fire Sales and Selection Bias" @default.
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- W2753231718 doi "https://doi.org/10.2139/ssrn.3011027" @default.
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