作者: Michael J. Barclay , Jerold B. Warner
DOI: 10.1016/0304-405X(93)90029-B
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摘要: We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for sample NYSE firms. Although majority trades are small, most stock-price is due to medium-size trades. This evidence consistent with hypothesis informed concentrated and movements mainly traders' private information.