TY - JOUR T1 - Fallen Angels and Price Pressure JF - The Journal of Fixed Income SP - 74 LP - 86 DO - 10.3905/jfi.2012.21.3.074 VL - 21 IS - 3 AU - Brent W. Ambrose AU - Kelly N. Cai AU - Jean Helwege Y1 - 2011/12/31 UR - https://pm-research.com/content/21/3/74.abstract N2 - We examine price pressure in a setting where trades occur because of regulations and when information effects are absent. Our study of fallen angel bond sales by insurance-companies shows that price pressure is negligible, if not nonexistent. We attribute our results to the fact that trades occur when fundamentals are unchanged and dealers know that the sales are not motivated by private information about future returns. Our results confirm the prediction of several theoretical models that sellers will benefit from a higher price when they are able to separate themselves out to dealers as uninformed. Consistent with following a strategy of sunshine trading (as in Admati and Pfleiderer [1991]), we find that insurers do not attempt to hide their trades by selling bonds before they are downgraded.TOPICS: Fixed-income portfolio management, passive strategies, exchanges/markets/clearinghouses ER -