Percorrer por autor "Gaspar, Raquel Sofia Neves"
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- The failure of Lehman Brothers : how did the collapse affect the banking system in the U.S.?Publication . Gaspar, Raquel Sofia Neves; Cerqueiro, Geraldo Manuel AlvesThis paper identifies more than 200 U.S. commercial banks and addresses two explicit research questions: First, did Lehman's collapse impact the U.S. banking system, and second, did the impact of Lehman's failure vary with a broad set of bank performance characteristics, namely risk profile, capital level/adequacy and leverage? These questions are central to understanding how the collapse affected the banking system and why some banks were affected to a much greater extent. Based on an event study structure, the outcomes provide evidence in support of size heterogeneity and unravel that the collateral damages from the collapse were discriminatory toward the largest banks. Additionally, the results support the hypothesizes that low risk and better capitalized banks were in an improved position to face negative shocks that materialized to bank value during LB’s bankruptcy. Indeed, despite the uncertainty observed during the days surrounding the bankruptcy announcement, market participants were able to make rational decisions regarding their investments in a way that is relatively consistent with fundamentals. This “discrimination” towards certain banks is an argument against the theory that investors panicked and started discarding assets indiscriminately and acts in favor of the “information-based transmission” theory, which defends that markets participants were able to discriminate and arbitrage.