Corporate bond mutual funds increased their selling of credit protection in the credit default swaps (CDS) market during the 2007-08 financial crisis. This trading activity was primarily in multi-name CDSs, greater among larger and established funds, and directed towards counterparty dealers in...

We measure a stock's exposure to fire sale risk through its ownership links to equity mutual funds that experience outflows during periods of systematic outflows from the fund industry. We find that more exposed stocks earn higher average returns: a portfolio that buys (shorts) stocks with the...