Stock Price Fragility

@article{Greenwood2009StockPF,
  title={Stock Price Fragility},
  author={R. Greenwood and D. Thesmar},
  journal={Journal of Financial Economics},
  year={2009},
  volume={102},
  pages={471-490}
}
We study the relation between the ownership structure of financial assets and non-fundamental risk. We define an asset to be fragile if it is susceptible to non-fundamental shifts in demand. An asset can be fragile because of concentrated ownership, or because its owners face correlated or volatile liquidity shocks, i.e., they must buy or sell at the same time. We formalize this idea and apply it to mutual fund ownership of US stocks. Consistent with our predictions, fragility strongly predicts… Expand
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