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Author: Gideon Saar Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
This article develops a theoretical model to explain the permanent price impact asymmetry between buyer- and seller-initiated block trades (the permanent price impact of buys is larger than that of sells). The model shows how the trading strategy of institutional portfolio managers creates a difference between the information content of buys and sells. The main implication of the model is that the history of price performance influences the asymmetry: the longer the run-up in a stock`s price, the less the asymmetry. The intensity of institutional trading and the frequency of information events affect the asymmetry differently depending on recent price performance.
Author: Gideon Saar Publisher: ISBN: Category : Languages : en Pages : 34
Book Description
This article develops a theoretical model to explain the permanent price impact asymmetry between buyer- and seller-initiated block trades (the permanent price impact of buys is larger than that of sells). The model shows how the trading strategy of institutional portfolio managers creates a difference between the information content of buys and sells. The main implication of the model is that the history of price performance influences the asymmetry: the longer the run-up in a stock`s price, the less the asymmetry. The intensity of institutional trading and the frequency of information events affect the asymmetry differently depending on recent price performance.
Author: Alex Frino Publisher: ISBN: Category : Languages : en Pages : 21
Book Description
This paper analyses price effects of block trades for the 30 stocks that comprise the Dow Jones Industrial Average for the period January 1993 to October 2001. Previous research shows prices revert following sales, but remain high after buys, creating an asymmetry between block purchases and sales. Extant literature has offered several conjectures as to the source of the asymmetry. We replicate the asymmetry documented in previous literature and provide a new conjecture as to its source, specifically bid-ask bias. Results show that purging block trade price effects of bid-ask bias produces symmetry in the behaviour of block trade price effects. This suggests research design issues are driving the asymmetry documented in previous literature, and that purchases are not more informative than sales.
Author: Hamish D. Anderson Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
This paper examines the price response to large block transactions made on the Australian Stock Exchange during the 1999 sample period. We find asymmetry in the price reaction between buyer- and seller-initiated trades with respect to size and resiliency following the trade. We extend previous research by examining order book changes surrounding block trades and relating price effects to changes in book depth. Purchases are associated with persistent order book imbalance, while the sales imbalance is insignificant. Cross-sectional analysis demonstrates that price resiliency following a trade is related to the speed at which limit orders arrive to replenish book depth.
Author: Chiraphol N. Chiyachantana Publisher: ISBN: Category : Languages : en Pages : 45
Book Description
Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus sells is positive at the initial stage of a price run-up and reverses due to changing constraints with a prolonged price run-up in a stock. Idiosyncratic volatility, analyst forecast dispersion, trading intensity, price dispersion, and bullish market conditions further sharpen the initial asymmetry, as well as its reversal after a price run-up.
Author: Publisher: ISBN: Category : Languages : en Pages :
Book Description
Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors trades may infact produce a price impact that can adversely influence their investment decisions. The objective for this study is to expand our knowledge about the economic role of upstairs markets as source of liquidity for institutional investors. We carry out our analysis by investigating intraday dynamics of price and liquidity impacts of large-block trades on the Italian Exchange. We also provide an empirical analysis of intraday and interday variations in block trading activity in order to uncover any systematic pattern in trading activity of traders that typically place large-block orders.
Author: Yuxin Sun Publisher: ISBN: Category : Languages : en Pages : 50
Book Description
Using high frequency data from the London Stock Exchange (LSE), we investigate the relationship between informed trading and the price impact of block trades on intraday and inter-day basis. Price impact of block trades is stronger during the first hour of trading; this is consistent with the hypothesis that information accumulates overnight during non-trading hours. Furthermore, private information is gradually incorporated into prices despite heightened trading frequency. Evidence suggests that informed traders exploit superior information across trading days, and stocks with lower transparency exhibit stronger information diffusion effects when traded in blocks, thus informed block trading facilitates price discovery.
Author: Gideon Saar
Author: Gideon Saar
Author: Ahmed A. Alzahrani
Author: Alex Frino
Author: Hamish D. Anderson
Author: Chiraphol N. Chiyachantana
Author: 
Author: Minder Cheng
Author: 
Author: Duane Joseph Seppi
Author: Yuxin Sun