Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy

• 成果类型: Article
• 署名作者: Aragon, George O.; Strahan, Philip E.
• 署名单位: University of Pennsylvania; Boston College; National Bureau of Economic Research; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.10.004
• 发表日期: 2012
• 页码: 570-587
• 关键词: HEDGE FUND; Market and funding liquidity

摘要

Hedge funds using Lehman as prime broker faced a decline in funding liquidity after the September 15, 2008 bankruptcy. We find that stocks held by these Lehman-connected funds experienced greater declines in market liquidity following the bankruptcy than other stocks; the effect was larger for ex ante illiquid stocks and persisted into the beginning of 2009. We find no similar effects surrounding the Bear Stearns failure, suggesting that disruptions surrounding bankruptcy explain the liquidity effects. We conclude that shocks to traders' funding liquidity reduce the market liquidity of the assets that they trade. (C) 2011 Elsevier B.V. All rights reserved.