Fire sales induced by investor redemptions have powerful spillover effects among funds that hold the same assets, hurting peer funds' performance and flows, and leading to further asset sales with negative bond price impact. A one-standard-deviation increase in our fire-sale spillover measure leads to a 45 (90) bp decrease in peer fund returns (flows) and a two percentage point increase in the likelihood of a large bond price drop. The results hold in a regression-discontinuity design addressing identification concerns. Timing, heterogeneity, instrumental-variable, and placebo tests further support the price-impact mechanism. Model-based counterfactual and stress-test analyses quantify the financial stability implications.

中文翻译：

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债务市场的甩卖溢出效应

投资者赎回引发的抛售在持有相同资产的基金之间具有强大的溢出效应，损害同业基金的业绩和流动，并导致进一步的资产抛售，对债券价格产生负面影响。我们的甩卖溢出衡量标准差增加一个标准差，导致同行基金回报（流量）下降 45 (90) 个基点，债券价格大幅下跌的可能性增加两个百分点。结果适用于解决识别问题的回归不连续性设计。时间、异质性、工具变量和安慰剂测试进一步支持价格影响机制。基于模型的反事实和压力测试分析量化了金融稳定的影响。