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| Tekijä: | Greenwood, R. Thesmar, D. |
| Otsikko: | Stock price fragility |
| Lehti: | Journal of Financial Economics
2011 : DEC, VOL 102:3 p. 471-490 |
| Asiasana: | risk investments financial forecasting financial institutions |
| Vapaa asiasana: | mutual funds |
| Kieli: | eng |
| Tiivistelmä: | We study the connection between the ownership structure of financial assets and non-fundamental risk. We define a fragile asset as an asset susceptible to non-fundamental shifts in demand. This can be due to concentrated ownership, or because the asset's owners face correlated or volatile liquidity shocks, i.e., they must buy or sell at the same time. This idea is formalized and applied to mutual fund ownership of US stocks. Similarly with our predictions, fragility strongly forecasts price volatility. Two natural extensions are also investigated: (1) the forecast of stock return comovement and (2) the potentially destabilizing effect of arbitrageurs on stock prices. |
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