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Credit Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy
16 references·4 citing·41 second hop
Credit Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy (2012)Credit Contagion Channels: Market Microst…Frailty Correlated Default (2009)Frailty Correlated DefaultCredit Contagion from Counterparty Risk (2009)Credit Contagion from Counter…Bank lending during the financial crisis of 2008 (2009)Bank lending during the finan…Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Good and bad credit contagion…Corporate Misreporting and Bank Loan Contracting (2007)Corporate Misreporting and Ba…Common Failings: How Corporate Defaults Are Correlated (2007)Common Failings: How Corporat…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Contagion and competitive intra-industry effects of bankruptcy announcements (1992)Contagion and competitive int…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Transmission of Volatility between Stock Markets (1990)Transmission of Volatility be…Transmission of Volatility Between Stock Markets (1989)Transmission of Volatility Be…Estimating the components of the bid/ask spread (1988)Estimating the components of …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Investor behavior, information disclosure strategy and counterparty credit risk contagion (2018)Investor behavior, informatio…Financial Firm Bankruptcy and Contagion (2015)Financial Firm Bankruptcy and…Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers (2013)Understanding the market reac…Bank capital, interbank contagion, and bailout policy (2013)Bank capital, interbank conta…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Determinants of corporate borrowing (1977)The theory and practice of corporate finance: evidence from the field (2001)Competition and the cost of debt (2012)Political Connections and the Cost of Bank Loans (2013)Beauty is in the eye of the beholder: The effect of corporate tax avoidance on the cost of bank loans (2014)Disclosure, Liquidity, and the Cost of Capital (1991)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Stock return variances (1986)Mean reversion in stock prices (1988)Correlations in Price Changes and Volatility across International Stock Markets (1990)Emerging equity market volatility (1997)Trying to Explain Home Bias in Equities and Consumption (1999)A Rational Expectations Model of Financial Contagion (2002)Bank Runs, Deposit Insurance, and Liquidity (1983)Deciphering the Liquidity and Credit Crunch 2007–2008 (2009)Renegotiation of financial contracts: Evidence from private credit agreements (2009)Securitized banking and the run on repo (2011)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Noise Trader Risk in Financial Markets (1990)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)Competition and Financial Stability (2004)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2009Bank lending during the financial crisis of 20082,777 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1990Transmission of Volatility between Stock Markets1,588 cited
  • 1989Transmission of Volatility Between Stock Markets1,516 cited
  • 2007Corporate Misreporting and Bank Loan Contracting1,192 cited
  • 1992Contagion and competitive intra-industry effects of bankruptcy announcements920 cited
  • 2002Order imbalance, liquidity, and market returns914 cited
  • 2007Good and bad credit contagion: Evidence from credit default swaps☆588 cited
  • 2007Common Failings: How Corporate Defaults Are Correlated583 cited
  • 2009Frailty Correlated Default547 cited
  • 2009Credit Contagion from Counterparty Risk

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Cited by

  • 2015Financial Firm Bankruptcy and Contagion64 cited
  • 2013Understanding the market reaction to shockwaves: Evidence from the failure of Lehman Brothers42 cited
  • 2018Investor behavior, information disclosure strategy and counterparty credit risk contagion32 cited
  • 2013Bank capital, interbank contagion, and bailout policy24 cited