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来源类型Working Paper
规范类型报告
DOI10.3386/w24089
来源IDWorking 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
URLhttps://www.nber.org/papers/w24089
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/581762
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Andrea Barbon,Marco Di Maggio,Francesco Franzoni,et al. Brokers and Order Flow Leakage: Evidence from Fire Sales. 2017.
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