In this paper, we study mutual fund performance in terms of timing ability with daily data from 1998 to 2009. A novel timing model is proposed by incorporating the regime-switching framework into the Treynor and Mazuy (1966) model. The volatility follows a generalized autoregressive conditional...

We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level...

We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level...

We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level...

This paper provides direct evidence of leverage-induced fire sales leading to a major stock market crash. Our analysis uses proprietary account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash in the summer of 2015. We find that margin...