The Behavior of Stock Prices Around Institutional Trades

The Behavior of Stock Prices Around Institutional Trades

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 capi...

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Veröffentlicht in:The Journal of finance (New York) 1995-09, Vol.50 (4), p.1147-1174
Hauptverfasser: CHAN, LOUIS K. C., LAKONISHOK, JOSEF
Format: Artikel
Sprache:eng
Schlagworte:
Average cost
Average prices
Econometrics
Eschatology
Financial management
Institutional investments
Investment
Investment advisors
Investment strategies
Money management
Opening prices
Organizational structure
Regression analysis
Securities trading
Stock exchanges
Stock prices
Studies
Trade
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Beschreibung
Zusammenfassung: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.
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1995.tb04053.x