## Whose Asset Sales Matter?

_IMF Working Papers, August 2, 2024_

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## Bibliographic details
- Authors: Rhys M. Bidder, Jamie Coen, Caterina Lepore, Laura Silvetri
- Published: August 2, 2024
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9798400287091.001

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### Overview
- Using novel data on bond trading in the UK, the authors develop a new measure of selling pressure that can be applied to any trader.
- Exogenous selling pressure in a bond is identified using traders’ sales of other, unrelated bonds.
- The study finds that the price impact of a sale depends on who is selling.

### Key findings
- Sales by dealers and hedge funds generate significantly larger impacts than equally sized sales by other investors.
- The authors rationalise findings using a model of differentially informed investors.
- All else equal, results suggest that more attention should be devoted to risks to financial stability from these impactful sellers.

### Methodology (summary)
- Novel UK bond trading data are used to construct a trader-level measure of selling pressure.
- Exogenous selling pressure is isolated by exploiting traders’ sales of other, unrelated bonds to identify pressure in a focal bond.

### Interpretation and theoretical framework
- A model of differentially informed investors is used to rationalise why identical sale sizes have heterogeneous price impacts depending on the seller’s type (dealers, hedge funds, other investors).

### Policy implications and recommendations
- Greater attention should be devoted to risks to financial stability arising from sellers whose sales generate large price impacts (notably dealers and hedge funds).
- Monitoring and macroprudential surveillance may need to account for heterogeneity in sellers’ impact on bond prices and liquidity.

### Keywords and subjects (as provided)
- Asset and liability management, Bonds, Financial institutions, Hedge funds, Liquidity, Mutual funds, Sovereign bonds
- Keywords: asset sale, Bonds, financial stability, fire sales, fixed income, Hedge funds, liquidity, Mutual funds, noise trader, pressure measure, price impact, sales by dealer, Sovereign bonds, traders' sale

*IMF Working Paper No. 2024/168.*

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_Source: https://www.imf.org/en/publications/wp/issues/2024/08/02/whose-asset-sales-matter-552865_