Gehrig, Thomas; Haas, Marlene - C.E.P.R. Discussion Papers - 2014
their equity bid-ask spreads, we find evidence that the bankruptcy contributed to increasing adverse selection risk as well … banking industry just prior to the bankruptcy. In the case of Lehman's stocks the adverse selection component rises in the … adverse selection component of potential bidders, from which we interpret that the market did not expect a take-over or merger …