What happened this week could be the start of something bad. As the Fed -- using JPMorgan Chase & Co. (NYSE: JPM) as its conduit -- bailed out The Bear Stearns Companies (NYSE: BSC), I was watching which banks were falling the most in sympathy. Next on the list? Lehman Brothers Holdings Inc. (NYSE: LEH) whose shares lost 14.6% yesterday -- a huge drop but nothing compared to Bear Stearns's 47% decline.

What exactly is going on here? The Wall Street banks hold the cash and securities of corporations, hedge funds and other investors. If a Wall Street bank files for bankruptcy, the bankruptcy process freezes those assets so that the customers can't get access to them. Thanks to bankruptcy law, the courts get to decide which creditors will get their hands on those assets. The reason Bear Stearns failed is that its customers withdrew their funds so they would not be frozen by bankruptcy.

The Fed stepped in because -- as I suggested Thursday -- it was faced with a choice of the lesser of two evils. It chose to create a "moral hazard" by bailing out Bear Stearns over letting it fail because it thought the cost of moral hazard was less than the cost of wiping out Bear Stearns shareholders and customers and all the collateral damage (pun intended) that would ensue. So why is Lehman Brothers the next one at risk?

Well, Lehman Brothers shares fell 14.6% on Friday. And according to Reuters, it holds "extensive mortgage assets, and one credit derivatives dealer, speaking on condition of anonymity, said his bank was pulling back on its exposure to Lehman, as were his clients. Rumors of funds unwinding positions with Lehman abounded, with everybody from risk management consultants to hedge fund managers to traders having heard them."

Moreover, while Lehman reported extensive liquidity in November, Bear Stearns did as well. Specifically, Lehman had $35 billion of liquid assets, and another $160 billion of assets it could sell if it had to. Lehman said on Friday it had closed on a $2 billion, 3-year unsecured credit facility. Unfortunately, what was true in November may not be true right now. For all we know, Lehman customers could be spending the weekend frantically trying to withdraw their money.

A Lehman spokesman issued a statement bragging about its liquidity (Bear Stearns CEO did that earlier last week). "Our liquidity position has been and continues to be very strong," adding that the company's standing plan to handle liquidity is a competitive advantage. I think the Bear Stearns experience suggests that investors may need more concrete assurance of Lehman's liquidity situation.

That market does not appear convinced. Reuters reported that "the cost of protecting Lehman's obligations against default for five years surged to 465 basis points, or $465,000 a year per $10 million protected, from $400,000 the day before."

The simple reality is that there is not enough detailed, accurate, and timely information about Lehman Brothers' actual situation to judge what is going on. But I find it hard to believe that Bear Stearns was so much worse than every other firm on Wall Street that it will be the only one affected by this flight to safety.

Meanwhile, I wonder whether the Fed will bail out all these banks, and if so, can it afford to do so?

Peter Cohan is President of Peter S. Cohan & Associates. He also teaches management at Babson College and edits The Cohan Letter. He has no financial interest in the securities mentioned.