Fohlin, Caroline; Gehrig, Thomas; Haas, Marlene - C.E.P.R. Discussion Papers - 2015
Using a new daily dataset for all stocks traded on the New York Stock Exchange, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the run on the market increased...