Brokers and Order Flow Leakage: Evidence from Fire Sales
利用交易级数据，研究经纪商是否在股票市场中传播订单流信息，发现经纪商的客户更可能对清算基金进行掠夺性交易，加剧了抛售成本。
ABSTRACT Using trade‐level data, we study whether brokers play a role in spreading order flow information in the stock market. We focus on large portfolio liquidations that result in temporary price drops, and identify the brokers who intermediate these trades. These brokers’ clients are more likely to predate on the liquidating funds than to provide liquidity. Predation leads to profits of about 25 basis points over 10 days and increases the liquidation costs of the distressed fund by 40%. This evidence suggests a role of information leakage in exacerbating fire sales.