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Brexit: (Not) another Lehman moment for banks?

Schiereck, D. and Kiesel, F. and Kolaric, S. (2016):
Brexit: (Not) another Lehman moment for banks?
In: Finance Research Letters, pp. 291-297, 19, ISSN 1544-6123,
[Article]

Abstract

We analyze the stock and CDS market reactions around the UK's EU membership referendum (“Brexit”) on June 23, 2016, and the Lehman Brothers bankruptcy filing on September 15, 2008. We find that the short-run drop in stock prices to the Brexit announcement was more pronounced than to Lehman's bankruptcy, particularly for EU banks. Additionally, for EU banks, a large increase in CDS spreads can be observed. Yet, compared to the Lehman bankruptcy filing, this increase is still relatively small. For non-EU banks, we observe neither significant stock nor CDS price reactions.

Item Type: Article
Erschienen: 2016
Creators: Schiereck, D. and Kiesel, F. and Kolaric, S.
Title: Brexit: (Not) another Lehman moment for banks?
Language: English
Abstract:

We analyze the stock and CDS market reactions around the UK's EU membership referendum (“Brexit”) on June 23, 2016, and the Lehman Brothers bankruptcy filing on September 15, 2008. We find that the short-run drop in stock prices to the Brexit announcement was more pronounced than to Lehman's bankruptcy, particularly for EU banks. Additionally, for EU banks, a large increase in CDS spreads can be observed. Yet, compared to the Lehman bankruptcy filing, this increase is still relatively small. For non-EU banks, we observe neither significant stock nor CDS price reactions.

Journal or Publication Title: Finance Research Letters
Volume: 19
Divisions: 01 Department of Law and Economics
01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete
01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance
Date Deposited: 06 Sep 2016 07:30
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