درک واکنش بازار به امواج ضربه ای: شواهدی از شکست برادران لیمن

The spectacular failure of the 150-year-old investment bank Lehman Brothers on September 15th, 2008 was a major turning point in the global financial crisis that broke out in the summer of 2007. Through the use of stock market data and credit default swap (CDS) spreads, this paper examines investors’ reaction to Lehman's collapse in an attempt to identify a spillover effect on the surviving financial institutions. The empirical analysis indicates that (i) the collateral damage was limited to the largest financial firms; (ii) the institutions most affected were the surviving “non-bank” financial services firms; and (iii) the negative effect was correlated with the financial conditions of the surviving institutions. We also detect significant abnormal jumps in CDS spreads that we interpret as evidence of sudden upward revisions in the market assessment of future default probabilities assigned to the surviving financial firms.

The spectacular failure of the 150-year-old investment bank Lehman Brothers has been perceived by many to be a major turning point in the global financial crisis that broke out in the summer of 2007. The specter of systemic risk sparked widespread fears of a full-scale collapse of the US financial sector due to financial contagion and concerns about significant disruption in international financial markets outside the United States. According to the bankruptcy petition #08-13555, filed on Monday, September 15th, 2008, Lehman's total assets of $639 billion made it the largest failure in US history, about six times bigger than the largest previous failure (see Table 1).2

After the spectacular failure of the 150-year-old investment bank Lehman Brothers on September 15th 2008, a wide-ranging debate about the nature, triggering events, and extent of systemic risk during the recent global financial crisis has sharply divided economists and underlined the urgent need for an operational framework to analyze and assess systemic events. For many observers, the failure of Lehman was a clear example of systemic risk that materialized during the current global financial crisis. The critics generally share the view that the government decision not to rescue the troubled investment bank was a big mistake that exacerbated the adverse effects of the financial crisis. Other influential economists espoused the opposite view, arguing that it was not Lehman's failure but the uncertainty surrounding the first draft of the TARP legislation released several days afterwards that effectively triggered the global panic of autumn 2008. The defenders of the no-bailout thesis contend that in the case of Lehman the government applied the right medicine at the right time and approve its decision to deny taxpayers’ money to rescue the nation's fourth-largest investment bank.