Stealth - trading : Which traders ’ trades move stock prices ? $
نویسنده
چکیده
Using audit trail data for a sample of NYSE firms we show that medium-size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of Barclay and Warner’s (1993) stealth-trading hypothesis. We find that the source of this disproportionately large cumulative price impact of medium-size trades is trades initiated by institutions. This result is robust to various sensitivity checks. Our findings appear to confirm street lore that institutions are informed traders. # 2001 Elsevier Science S.A. All rights reserved. JEL classification: G12; G14; D82
منابع مشابه
Forthcoming: Journal of Financial Economics Stealth Trading: Which Traders' Trades Move Stock Prices?
Using audit trail data for a sample of NYSE firms, we show that medium size trades are associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of the stealth trading hypothesis (Barclay and Warner (1993)). We find that the source of this disproportionately large cumulative pric...
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