The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

This article develops a model of the upstairs market where order size, beliefs, and prices are determined endogenously. We test the model's predictions using unique data for 5,625 equity trades during the period 1985 to 1992 that are known to be upstairs transactions and are identified as eithe...

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Veröffentlicht in:	The Review of financial studies 1996-04, Vol.9 (1), p.1-36
Hauptverfasser:	Keim, Donald B., Madhavan, Ananth
Format:	Artikel
Sprache:	eng
Schlagworte:	Business orders Economic models Equity Hypotheses Investments Liquidity Market prices Market theory Nasdaq Composite Index Price level Price theory Prices Shares outstanding Stock exchange Stock exchanges Stock market indices Stock prices Trade Trade finance
Online-Zugang:	Volltext
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