Plausibly Exogenous [1060] - Fire-sale Spillover (12/26/2022)
LHS Variable
Peer fund returns and flows
RHS Variable
Fire-sale spillover
Source of Exogenous Variation
Sharp changes in fund flows around the (un)assignment of Morningstar five-star ratings
- Falato, Hortacsu, Li, and Shin (2021), “Fire-Sale Spillovers in Debt Markets”