Usually, when word of a deal leaks out, the target company's price spikes. Unless you are Lehman Brothers [0], and the rumors hold that a deal is forthcoming for less than the market price. This probably explains the huge sell-off in Lehman shares recently. The speculation as of late has surrounded Barclays, which has some capital issues of its own. You have to be skeptical of all gossip right now, given the poor state of many rumored would-be buyers. Still, traders currently are in hair-trigger mode when it comes to Lehman. While buyers appear scant, it seems clear that one of the better options for Lehman is to sell itself. A tough position, to be sure. The board has its work cut out for it.

For more:
- here's the Business Week article [1]

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