Work

The Behavior of Stock Prices Around Institutional Trades

Year: 1995

Type: article

Abstract: ABSTRACT All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence (“package”) of trades that we interpret as an order. We find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact.

Source: The Journal of Finance

DOI: 10.1111/j.1540-6261.1995.tb04053.x

Authors: LOUIS K. C. CHAN, JOSEF LAKONISHOK

Institutions: University of Illinois Urbana-Champaign, University of Illinois Chicago, University of Chicago, Columbia University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

Funders: National Centre for Supercomputing Applications, University of Illinois at Urbana-Champaign

OpenAlex ID: W1992426919