https://scholars.lib.ntu.edu.tw/handle/123456789/414539
標題: | The role of equity funds in the financial crisis propagation | 作者: | Hau, Harald Sandy LAI |
公開日期: | 1-三月-2017 | 出版社: | OXFORD UNIV PRESS | 卷: | 21 | 期: | 1 | 起(迄)頁: | 77 | 來源出版物: | Review of Finance | 摘要: | © The Authors 2016. Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. The early stage of the 2007/2008 financial crisis was marked by large value losses for bank stocks. This article identifies the equity funds most affected by this valuation shock and examines its consequences for the nonfinancial stocks owned by the respective funds. We document three key empirical findings. First, ownership links to these distressed equity funds lead to large temporary underperformance of the most exposed nonfinancial stocks. Second, distressed equity funds make the better performing stocks in their portfolio the preferred liquidation choice. Third, stocks with higher overall fund ownership generally performed better throughout the crisis. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414539 | ISSN: | 15723097 | DOI: | 10.1093/rof/rfw023 |
顯示於: | 財務金融學系 |
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