Leverage-induced fire sales and stock market crashes
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发布日期:2021年12月29日 上次修订日期:2022年03月22日


We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level leverage edges toward their maximum leverage limits, controlling for stock-date and account fixed effects. Stocks that are disproportionately held by accounts close to leverage limits experience high selling pressure and abnormal price declines which subsequently reverse. Unregulated shadow-financed margin accounts, facilitated by FinTech lending platforms, contributed more to the crash despite their smaller asset holdings relative to regulated brokerage accounts.

Jiangze Bian ; Zhiguo He ; Kelly Shue ; Leverage-induced fire sales and stock market crashes (2021年12月29日)http://www.cfrn.com.cn//lw/zbsc/tzzhyjclw/5b7aab8ca9a84ee88a0e306348326004.htm

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