When Cash Flows Turn Negative: Liquidity-Driven Selling by Pension Funds -- by Aleksandar Andonov, Kristy A. E. Jansen, Joshua Rauh

We thank Cynthia Balloch, Sebastien Betermier, Gregory Brown, Sergey Chernenko, Mattia Colombo, Nathan Foley-Fisher, Valentin Haddad, Anil Kashyap, Leonard Kostovetsky, Borja Larrain, Jessica Li, Deborah Lucas, Alberto Manconi, Simon Oh, Ludovic Phalippou, Federico Puglisi, Emil Siriwardane, Irina Stefanescu, Jeremy Stein, Rafael Zambrana as well as conference and seminar participants at the AIF Institute West Coast Investing Symposium, Chicago Booth, Chinese University of Hong Kong, Cornell, Demand in Asset Markets (DAM) Working Group, Esade Spring Workshop, European Finance Association, Harvard Business School Junior Finance Conference, Hong Kong University, Inquire UK/Europe Joint Spring Seminar, International Centre for Pension Management, IPC Current Issues in Alternatives NYC Symposium, LBS Summer Finance Symposium, Luiss Finance Workshop, Maryland Smith School of Business, McGill, NBER Financial Market Frictions and Systemic Risks Conference, Notre Dame Investment Management Conference, NV FEB Conference, Quoniam Asset Management, UCLA, University of Chile, University of Toronto Asset Pricing and Investments Workshop, USC, UW Summer Finance Conference, Workshop on Financial Intermediation Central Bank of Chile, and World Symposium on Investment Research for very useful comments and feedback. We gratefully acknowledge financial support from the NBER Financial Market Frictions and Systemic Risks initiative. We thank Riley Seunghye Shin and Gayoung Koo for excellent research assistance. Views expressed are those of the authors and do not necessarily reflect official positions of DNB or the Eurosystem002 The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.