Hedge funds as liquidity providers: Evidence from the Lehman bankruptcy
By George O. Aragon, Philip E. Strahan. 2012
324 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/90ad7b21da364dfc437f05b4353787151537aea7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Jens Dick‐Nielsen
- D. Lando
- Peter Feldhütter
- Mariassunta Giannetti
- Adi Sunderam
- Melvyn Teo
- Francis A. Longstaff
- S. G. Hanson
In Finance
- Peter Feldhütter
- D. Lando
- Jens Dick‐Nielsen
- Mariassunta Giannetti
- Adi Sunderam
- Melvyn Teo
- Francis A. Longstaff
- S. G. Hanson
Citations in the corpus
- Tail Risk in Hedge Funds: A Unique View from Portfolio Holdings (2017, unknown): “ 17A similar setting is used by Aragon and Strahan (2012).”
- Can Hedge Funds Time Market Liquidity (2012, unknown): “Though other levels of liquidity (e.g., funding liquidity) perhaps are equally important (e.g., Aragon and Strahan, 2012), we focus on market-wide liquidity because timing strategies are essentially about aggregate market conditions.”
- The Liquidity Risk of Liquid Hedge Funds (2011, background): “Aragon and Strahan (2010) demonstrate that the collapse of Lehman Brothers triggered a funding liquidity crisis that caused stocks traded by Lehman–connected funds to experience declines in market liquidity.”
- The subprime credit crisis and contagion in financial markets (2010, result): “These results are also consistent with Aragon and Strahan (2009) who study the impact of the Lehman bankruptcy on hedge funds.”
- Investors' Horizons and the Amplification of Market Shocks (2013, methodology): “10 Aragon and Strahan (2012) show that stocks held by Lehman-connected hedge funds experienced greater declines in market liquidity following the Lehman’s bankruptcy than other stocks.”
- Working Paper # 0001 January 5 , 2012 A Survey of Systemic Risk Analytics (2012, unknown): “The interconnectedness of brokers and hedge funds has also been considered recently by King and Maier (2009), Aragon and Strahan (2009), Brunnermeier and Pedersen (2009), and Klaus and Rzepkowski (2009). Furthermore, Boyson, Stahel, and Stulz (2010) investigated contagion from lagged bank and broker”
- The Growth and Limits of Arbitrage: Evidence from Short Interest (2014, background): “See Savor and Gamboa-Cavazos (2011) for more on this point.”
- Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, background): “Aragon and Strahan (2010) study hedge funds with a broker relationship with Lehman.”
- Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, unknown): “Aragon and Strahan (2012) examine the portfolio holdings of hedge fund clients of Lehman Brothers, whose accounts were frozen following Lehman’s bankruptcy.”