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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP9893 |
DP9893 Lehman Brothers: What Did Markets Know? | |
Thomas Gehrig; Marlene Haas | |
发表日期 | 2014-03-16 |
出版年 | 2014 |
语种 | 英语 |
摘要 | On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. The reaction of Lehman's competitors and market participants to this bankruptcy filing announcement provides a unique field experiment of how the insolvency spills over to other financial institutions and how interconnectedness might trigger a financial crisis. Specifically, we analyze transaction prices of major U.S. investment and commercial banks prior to and after the bankruptcy. By decomposing their equity bid-ask spreads, we find evidence that the bankruptcy contributed to increasing adverse selection risk as well as inventory holding risk. Moreover, we find supporting evidence that the degree of competition among market makers did decline. All three components did contribute to a significant rise in transaction costs. Interestingly, the relative contribution of each channel has remained roughly constant. Finally, there is little evidence about insider information within the banking industry just prior to the bankruptcy. In the case of Lehman's stocks the adverse selection component rises in the last days of trading prior to the bankruptcy filing announcement. Moreover, we find no evidence of an increase in the adverse selection component of potential bidders, from which we interpret that the market did not expect a take-over or merger. We explore the robustness of our decomposition by employing volume-synchronized probability of informed trading-measures and impact regressions on prices, quantities, and their respective innovations. In general, we find that information effects are rather short-lived except for the three days prior to the Lehman insolvency. |
主题 | Financial Economics |
关键词 | Adverse selection costs Bid ask spreads Contagion Systemic risk |
URL | https://cepr.org/publications/dp9893 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538727 |
推荐引用方式 GB/T 7714 | Thomas Gehrig,Marlene Haas. DP9893 Lehman Brothers: What Did Markets Know?. 2014. |
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