Institutional trades and intraday stock price behavior
作者： Louis K.C. Chan , Josef Lakonishok
DOI: 10.1016/0304-405X(93)90003-T
关键词:
摘要: Abstract This paper examines the price effect of institutional stock trading, using a unique data set that reports transactions (large and small) 37 large money management firms. The direction each trade identity firm behind are known. Although trades associated with some pressure, we find average is small. There also marked asymmetry between impact buys versus sells. We relate our findings to various hypotheses on elasticity demand for stocks, cost executing transactions, determinants market impact. capitalization relative size influence trade, dominant manager trade.
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