| Item Type |
Journal paper
|
| Abstract |
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. |
| Authors |
Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco & Landier, Augustin |
| Journal or Publication Title |
The Journal of Finance |
| Language |
English |
| Subjects |
economics
finance |
| HSG Classification |
contribution to scientific community |
| HSG Profile Area |
SOF - System-wide Risk in the Financial System |
| Refereed |
No |
| Date |
14 November 2019 |
| Publisher |
Wiley |
| Volume |
74 |
| Number |
6 |
| Page Range |
2707-2749 |
| Number of Pages |
42 |
| ISSN |
0022-1082 |
| ISSN-Digital |
1540-6261 |
| Publisher DOI |
https://doi.org/10.1111/jofi.12840 |
| Official URL |
https://onlinelibrary.wiley.com/doi/abs/10.1111/jo... |
| Depositing User |
Prof. PhD Andrea Barbon
|
| Date Deposited |
04 Jun 2020 09:07 |
| Last Modified |
20 Jul 2022 17:42 |
| URI: |
https://www.alexandria.unisg.ch/publications/260324 |
Brokers and Order Flow Leakage: Evidence from Fire Sales
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