On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. This announcement did take markets by surprise causing widespread panic and disruptions in financial systems worldwide. It has been widely argued that financial contagion has escalated the insolvency into a...

On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. This announcement did take markets by surprise causing widespread panic and disruptions in financial systems worldwide. It has been widely argued that financial contagion has escalated the insolvency into a...

On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. This announcement did take markets by surprise causing widespread panic and disruptions in financial systems worldwide. It has been widely argued that financial contagion has escalated the insolvency into a...

On September 15, 2008, Lehman Brothers Inc. announced their filing for bankruptcy. The reaction of Lehman's competitors and market participants to this bankruptcy filing announcement provides a unique field experiment of how the insolvency spills over to other financial institutions and how...

Based on daily prices (amtliche Kurse) we estimate effective spreads of securities traded at the Berlin Stock Exchange in 1880, 1890, 1900 and 1910. Several extensions of the Roll measure are applied. We find surprisingly tight effective spreads for the historical data, comparable with similar...

Despite reputedly widespread market manipulation and insider trading, we find surprisingly high liquidity and low transactions costs for actively traded securities on the NYSE between 1890 and 1910, decades before SEC regulation. Moreover, market makers behave largely as predicted in theory:...

Despite reputedly widespread market manipulation and insider trading, we find surprisingly high liquidity and low transactions costs for actively traded securities on the NYSE between 1890 and 1910, decades before SEC regulation. Moreover, market makers behave largely as predicted in theory:...

Based on daily prices (amtliche Kurse) we estimate effective spreads of securities traded at the Berlin Stock Exchange in 1880, 1890, 1900 and 1910. Several extensions of the Roll measure are applied. We find surprisingly tight effective spreads for the historical data, comparable with similar...

Based on daily prices (amtliche Kurse) we estimate effective spreads of securities traded at the Berlin Stock Exchange in 1880, 1890, 1900 and 1910. Several extensions of the Roll measure are applied. We find surprisingly tight effective spreads for the historical data, comparable with similar...