| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24089 |
| 来源ID | Working Paper 24089 |
| Brokers and Order Flow Leakage: Evidence from Fire Sales | |
| Andrea Barbon; Marco Di Maggio; Francesco Franzoni; Augustin Landier | |
| 发表日期 | 2017-12-04 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Using trade-level data, we study whether brokers play a role in spreading order flow information. We focus on large portfolio liquidations, which result in temporary drops in stock prices, and identify the brokers that intermediate these trades. We show that these brokers’ best clients tend to predate on the liquidating funds: at the beginning of the fire sale, they sell their holdings in the liquidated stocks, to then cover their positions once asset prices start recovering. The predatory trades generate at least 50 basis points over ten days and cause the liquidation costs for the distressed fund to almost double. These results suggest a role of brokers in fostering predatory behavior and raise a red flag for regulators. Moreover, our findings highlight the trade-off between slow execution and potential information leakage in the decision of optimal trading speed. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w24089 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581762 |
| 推荐引用方式 GB/T 7714 | Andrea Barbon,Marco Di Maggio,Francesco Franzoni,et al. Brokers and Order Flow Leakage: Evidence from Fire Sales. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24089.pdf（1717KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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