Brokers and Order Flow Leakage: Evidence from Fire Sales

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

Download

[img] Slideshow
paper 2.pdf - Presentation

Download (753kB)

Citation

Barbon, Andrea; Di Maggio, Marco; Franzoni, Francesco & Landier, Augustin (2019) Brokers and Order Flow Leakage: Evidence from Fire Sales. The Journal of Finance, 74 (6). 2707-2749. ISSN 0022-1082

Statistics

https://www.alexandria.unisg.ch/id/eprint/260324
Edit item Edit item
Feedback?