| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15336 |
| 来源ID | Working Paper 15336 |
| Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy | |
| George O. Aragon; Philip E. Strahan | |
| 发表日期 | 2009-09-10 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Using the September 15, 2008 bankruptcy of Lehman Brothers as an exogenous shock to funding costs, we show that hedge funds act as liquidity providers. Hedge funds using Lehman as prime broker could not trade after the bankruptcy, and these funds failed twice as often as otherwise-similar funds after September 15 (but not before). Stocks traded by the Lehman-connected hedge funds in turn experienced greater declines in market liquidity following the bankruptcy than other stocks; and, the effect was larger for ex ante illiquid stocks. We conclude that shocks to traders' funding liquidity reduce the market liquidity of the assets that they trade. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w15336 |
| 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/573011 |
| 推荐引用方式 GB/T 7714 | George O. Aragon,Philip E. Strahan. Hedge Funds as Liquidity Providers: Evidence from the Lehman Bankruptcy. 2009. |
| 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 | ||
| w15336.pdf（233KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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