ianmadlenya / firesale

Empirically estimate the effect of mutual fund flows on stock prices using data at the stock-month level。

Fire Sale

An empirically estimation on the effect of mutual fund flows on stock prices using data at the stock-month level。

Parameters

The data source contains a panel dataset at the stock-month level with the following variable:

• permno: Stock identifier
• date, month: Date defined at month-level (in 2 different formats)
• month_2: Month of the year
• mfflow: Mutual fund selling pressure (see definition below)
• ret: Monthly return of the stock
• pre: Price of the stock at the end of the month

The mutual fund selling pressure variable MFFlow is taken from Edmans, Goldstein and Jiang (2012) hereafter EGJ12.