Fohlin, Caroline; Gehrig, Thomas; Haas, Marlene - Department of Economics, Emory University - 2015
Using a new daily dataset for all stocks traded on the New York Stock Exchange from 1905 to 1910, we provide the first in-depth, microstructure analysis of the Panic of 1907 - one of the most severe financial crises of the 20th century - and quantify the critical role of asymmetric information...