| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11194 |
| DP11194 Anomalous Trading Prior to Lehman Brothers' Failure | |
| Thomas Gehrig; Marlene Haas | |
| 发表日期 | 2016-03-27 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We study price discovery during the liquidity freeze of September 2008, when fundamental values were difficult to be assessed. We find that trading volume and trade size significantly increased two days before the public announcement of Lehman's lethal quarter loss. Nevertheless, informational risk as perceived by liquidity suppliers increased only after the public disclosure of this loss. The price impact of trades was minimal and stock markets kept on working efficiently for Lehman stocks until the insolvency announcement. Price efficiency is on average established after half a second, which could have been exploited by low-latency traders. |
| 主题 | Economic History ; Financial Economics |
| 关键词 | Price discovery Price impact Trading volume Low latency trading |
| URL | https://cepr.org/publications/dp11194 |
| 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/540011 |
| 推荐引用方式 GB/T 7714 | Thomas Gehrig,Marlene Haas. DP11194 Anomalous Trading Prior to Lehman Brothers' Failure. 2016. |
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