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...
Gespeichert in:
| Veröffentlicht in: | The Journal of finance (New York) 1995-09, Vol.50 (4), p.1147-1174 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 1174 |
|---|---|
| container_issue | 4 |
| container_start_page | 1147 |
| container_title | The Journal of finance (New York) |
| container_volume | 50 |
| creator | CHAN, LOUIS K. C. LAKONISHOK, JOSEF |
| description | 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. |
| doi_str_mv | 10.1111/j.1540-6261.1995.tb04053.x |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_proquest_miscellaneous_38827947</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>2329347</jstor_id><sourcerecordid>2329347</sourcerecordid><originalsourceid>FETCH-LOGICAL-c6383-cf85e80a50016a3f7bbbbccbe0d3ce04cdb94adedf87209d7513d5535e11721b3</originalsourceid><addsrcrecordid>eNqVkEtP3DAUha2qSJ0C_yGiVXcJfsSx3VUpj2EQKkgM7fLKcRyREMbUTmDm3-MQhBBSFz0L29L9ztH1QWiP4IxE7bcZ4TlOC1qQjCjFs77EOeYsW39As9fRRzTDmNKUYEk_oc8htHgU5zMklzc2-Wlv9EPjfOLq5Kp35ja59I2xITnwblhVyWIV-qYf-satdJcsva5s2EFbte6C3X25t9H1yfHy8DQ9v5gvDg_OU1MwyVJTS24l1hxjUmhWizLKmNLiihmLc1OVKo95VS0FxaoSnLCKc8YtIYKSkm2jb1PuvXd_Bxt6uGuCsV2nV9YNAZiUVKhcRHDvHdi6wceFA5A4J4zmMkJf_glRJQhRXI3U94ky3oXgbQ33vrnTfgMEw9g7tDCWC2O5MPYOL73DOpp_TObHprOb_3DC2cXJYnzGiK9TRBt6599GUIZFPKhizz9OJ6wJvV2_YtrfQiGY4PDn1xy4OlJnnFP4zZ4AR2mjPA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1297119598</pqid></control><display><type>article</type><title>The Behavior of Stock Prices Around Institutional Trades</title><source>Periodicals Index Online</source><source>JSTOR Archive Collection A-Z Listing</source><creator>CHAN, LOUIS K. C. ; LAKONISHOK, JOSEF</creator><creatorcontrib>CHAN, LOUIS K. C. ; LAKONISHOK, JOSEF</creatorcontrib><description>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.</description><identifier>ISSN: 0022-1082</identifier><identifier>EISSN: 1540-6261</identifier><identifier>DOI: 10.1111/j.1540-6261.1995.tb04053.x</identifier><identifier>CODEN: JLFIAN</identifier><language>eng</language><publisher>Oxford, UK: Blackwell Publishing Ltd</publisher><subject>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</subject><ispartof>The Journal of finance (New York), 1995-09, Vol.50 (4), p.1147-1174</ispartof><rights>Copyright 1995 The American Finance Association</rights><rights>1995 the American Finance Association</rights><rights>Copyright Blackwell Publishers Inc. Sep 1995</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c6383-cf85e80a50016a3f7bbbbccbe0d3ce04cdb94adedf87209d7513d5535e11721b3</citedby><cites>FETCH-LOGICAL-c6383-cf85e80a50016a3f7bbbbccbe0d3ce04cdb94adedf87209d7513d5535e11721b3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/2329347$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/2329347$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>315,781,785,804,27871,27926,27927,58019,58252</link.rule.ids></links><search><creatorcontrib>CHAN, LOUIS K. C.</creatorcontrib><creatorcontrib>LAKONISHOK, JOSEF</creatorcontrib><title>The Behavior of Stock Prices Around Institutional Trades</title><title>The Journal of finance (New York)</title><description>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.</description><subject>Average cost</subject><subject>Average prices</subject><subject>Econometrics</subject><subject>Eschatology</subject><subject>Financial management</subject><subject>Institutional investments</subject><subject>Investment</subject><subject>Investment advisors</subject><subject>Investment strategies</subject><subject>Money management</subject><subject>Opening prices</subject><subject>Organizational structure</subject><subject>Regression analysis</subject><subject>Securities trading</subject><subject>Stock exchanges</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Trade</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1995</creationdate><recordtype>article</recordtype><sourceid>K30</sourceid><recordid>eNqVkEtP3DAUha2qSJ0C_yGiVXcJfsSx3VUpj2EQKkgM7fLKcRyREMbUTmDm3-MQhBBSFz0L29L9ztH1QWiP4IxE7bcZ4TlOC1qQjCjFs77EOeYsW39As9fRRzTDmNKUYEk_oc8htHgU5zMklzc2-Wlv9EPjfOLq5Kp35ja59I2xITnwblhVyWIV-qYf-satdJcsva5s2EFbte6C3X25t9H1yfHy8DQ9v5gvDg_OU1MwyVJTS24l1hxjUmhWizLKmNLiihmLc1OVKo95VS0FxaoSnLCKc8YtIYKSkm2jb1PuvXd_Bxt6uGuCsV2nV9YNAZiUVKhcRHDvHdi6wceFA5A4J4zmMkJf_glRJQhRXI3U94ky3oXgbQ33vrnTfgMEw9g7tDCWC2O5MPYOL73DOpp_TObHprOb_3DC2cXJYnzGiK9TRBt6599GUIZFPKhizz9OJ6wJvV2_YtrfQiGY4PDn1xy4OlJnnFP4zZ4AR2mjPA</recordid><startdate>199509</startdate><enddate>199509</enddate><creator>CHAN, LOUIS K. C.</creator><creator>LAKONISHOK, JOSEF</creator><general>Blackwell Publishing Ltd</general><general>American Finance Association</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>FIXVA</scope><scope>FUVTR</scope><scope>JILTI</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>199509</creationdate><title>The Behavior of Stock Prices Around Institutional Trades</title><author>CHAN, LOUIS K. C. ; LAKONISHOK, JOSEF</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c6383-cf85e80a50016a3f7bbbbccbe0d3ce04cdb94adedf87209d7513d5535e11721b3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1995</creationdate><topic>Average cost</topic><topic>Average prices</topic><topic>Econometrics</topic><topic>Eschatology</topic><topic>Financial management</topic><topic>Institutional investments</topic><topic>Investment</topic><topic>Investment advisors</topic><topic>Investment strategies</topic><topic>Money management</topic><topic>Opening prices</topic><topic>Organizational structure</topic><topic>Regression analysis</topic><topic>Securities trading</topic><topic>Stock exchanges</topic><topic>Stock prices</topic><topic>Studies</topic><topic>Trade</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>CHAN, LOUIS K. C.</creatorcontrib><creatorcontrib>LAKONISHOK, JOSEF</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 03</collection><collection>Periodicals Index Online Segment 06</collection><collection>Periodicals Index Online Segment 32</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>CHAN, LOUIS K. C.</au><au>LAKONISHOK, JOSEF</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The Behavior of Stock Prices Around Institutional Trades</atitle><jtitle>The Journal of finance (New York)</jtitle><date>1995-09</date><risdate>1995</risdate><volume>50</volume><issue>4</issue><spage>1147</spage><epage>1174</epage><pages>1147-1174</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><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.</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1540-6261.1995.tb04053.x</doi><tpages>28</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 1995-09, Vol.50 (4), p.1147-1174 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38827947 |
| source | Periodicals Index Online; JSTOR Archive Collection A-Z Listing |
| subjects | 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 |
| title | The Behavior of Stock Prices Around Institutional Trades |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-18T05%3A56%3A06IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20Behavior%20of%20Stock%20Prices%20Around%20Institutional%20Trades&rft.jtitle=The%20Journal%20of%20finance%20(New%20York)&rft.au=CHAN,%20LOUIS%20K.%20C.&rft.date=1995-09&rft.volume=50&rft.issue=4&rft.spage=1147&rft.epage=1174&rft.pages=1147-1174&rft.issn=0022-1082&rft.eissn=1540-6261&rft.coden=JLFIAN&rft_id=info:doi/10.1111/j.1540-6261.1995.tb04053.x&rft_dat=%3Cjstor_proqu%3E2329347%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1297119598&rft_id=info:pmid/&rft_jstor_id=2329347&rfr_iscdi=true |