The Behavior of Stock Prices Around Institutional Trades

摘要: All trades executed by 37 large investment management firms from July 1986 to December 1988 are used study the price impact and execution cost of entire sequence ("package") that we interpret as an order. We find market trading related firm capitalization, relative package size, and, most importantly, identity behind trade. Money managers with high demands for immediacy tend be associated larger impact. FINANCIAL ECONOMISTS HAVE LONG studied equity process its on stock prices. Much prior empirical research isolates individual analyzes behavior around each See, example, Kraus Stoll (1972a), Holthausen, Leftwich, Mayers (1987, 1990), Keim Madhavan (1991), Petersen Umlauf Hausman, Lo, MacKinlay (1992) Chan Lakonishok (1993). Evaluating prices provides a means discriminating among various hypotheses elasticity demand stocks; yields estimate executing measure liquidity market; permits tests different models determination quotes transaction For many institutional investors, however, even moderately-sized position in may represent fraction stock's volume. Accordingly, manager's order is often broken up into several trades. It misleading, therefore, consider trade basic unit analysis activity effects This paper uses record manage