The Role of Institutional Investors in Propagating the Crisis of 2007-2008
Journal of Financial Economics, 2011

Using a novel data of institutional investors’ bond holdings, Associate Professor Ayako Yasuda and co-authors Alberto Manconi from Tilburg University and Massimo Massa from INSEAD examine a transmission of the crisis of 2007-08 from the securitized bond market to the corporate bond market via joint ownership of these bonds by investors.

The authors posit that, ceteris paribus, corporate bonds held by investors with high exposure to securitized bonds and liquidity needs experience greater selling pressure and price declines (yield increases) at the onset of the crisis.