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Fire Sale Risk and Expected Stock Returns

Topic: Fire Sale Risk and Expected Stock Returns
Speaker: Min Kim, University of New South Wales

We measure a stock’s exposure to …re sale risk through its ownership links to equity mutual funds with investor outfl‡ows that are highly sensitive to systematic industry outfl‡ows. We fi…nd that more exposed stocks earn higher average returns: a portfolio that buys (shorts) stocks with the highest (lowest) exposure outperforms by 3-7% per annum. Our …findings cannot be explained by several known determinants of average returns, including market or funding liquidity risks, or downside or skewness risks. Our results are consistent with the ex-ante pricing of the risk of future …re sales and suggest that stocks’ exposures to risks inherited from shareholders’ constraints have important implications for stock prices.

A light lunch will be provided at 1p.m. Please RSVP for catering purposes to Mala Kapahi by 12 noon on Monday 22nd May.
Date: Wednesday, 24th May 2017      
Time: 12.00 – 1.00 p.m.
Venue: University of Technology, Sydney
             Building 8
             Dr Chau Chak Wing Building
             14 - 28 Ultimo Road, Ultimo
Co-ordinator: Adrian Lee (Ph: +61 2 9514 7765)
Enquiries: Mala Kapahi (Ph: +61 2 9514 7777


24 May 2017
12:00 pm - 1:00 pm


City - HaymarketCB08 Dr Chau Chak Wing Building, Building 8