NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Alberto Manconi

Bocconi University
via Roentgen 1
20136 Milan
Italy

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org

NBER Working Papers and Publications

July 2010The Behavior of Intoxicated Investors: The role of institutional investors in propagating the crisis of 2007-2008
with Massimo Massa, Ayako Yasuda: w16191
Using a novel data of institutional investors' bond holdings, we examine a transmission of the crisis of 2007-2008 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors. We posit that, ceteris paribus, corporate bonds held by investors with high exposure to securitized bonds and liquidity needs experience greater selling pressure and price declines (yield increases) at the onset of the crisis. We further test predictions of a model of dynamic asset liquidation: Investors with large enough future liquidity shocks retain liquid assets, and instead sell assets that have relatively high temporary price impacts of trading. Mutual funds with higher sensitivity of pay to performance held higher portions of their portfolios in securitized bon...

Published: The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008, Alberto Manconi, Massimo Massa, Ayako Yasuda. in Market Institutions and Financial Market Risk, Carey, Kashyap, Rajan, and Stulz. 2012

June 2010The Behavior of Intoxicated Investors: The Role of Institutional Investors in Propagating the Crisis of 2007-2008
with Massimo Massa, Ayako Yasuda
in Market Institutions and Financial Market Risk, Mark Carey, Anil Kashyap, Raghuram Rajan, and René Stulz, organizers
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us