L'impact différencié de la faillite de Lehman Brothers sur les valeurs bancaires et financières américaines : une étude d'événement

The spectacular failure of the 150-year old investment bank Lehman Brothers has been perceived by many as a major turning point in the global financial crisis that broke out in the summer 2007. The specter of systemic risk raised fears of a full-scale collapse of the US financial sector due to financial contagion and concerns about significant disturbances outside the US, in international financial markets. Through the use of stock market data, this article examines the investors? reaction to Lehman Brothers collapse in an attempt to identify a contagion effect on the surviving financial institutions. The empirical analysis indicates that (i) the collateral damages were limited to the largest financial firms; (ii) the most affected institutions were the surviving ?non-bank? financial services firms (mortgage and specialty finance, investment services, and diversified financial services firms); (iii) the negative effect was strongly correlated with financial conditions of the surviving institutions. Classification JEL: G21, G28.