Brokers and Order Flow Leakage: Evidence from Fire Sales

• 成果类型: Article
• 署名作者: Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco; Landier, Augustin
• 署名单位: Universita della Svizzera Italiana; Swiss Finance Institute (SFI); Harvard University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12840
• 发表日期: 2019
• 页码: 2707-2749
• 关键词: equilibrium; performance; returns; liquidation; persistence; INFORMATION; RISK

摘要

Using trade-level data, we study whether brokers play a role in spreading order flow information in the stock market. We focus on large portfolio liquidations that result in temporary price drops, and identify the brokers who intermediate these trades. These brokers' clients are more likely to predate on the liquidating funds than to provide liquidity. Predation leads to profits of about 25 basis points over 10 days and increases the liquidation costs of the distressed fund by 40%. This evidence suggests a role of information leakage in exacerbating fire sales.