Stealth-trading: Which traders' trades move stock prices?

• 成果类型: Article
• 署名作者: Chakravarty, S
• 署名单位: Purdue University System; Purdue University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00063-0
• 发表日期: 2001
• 页码: 289-307
• 关键词: stealth-trading; prier impact; institutions; individuals; microstructure

摘要

Using audit trail data for a sample of NYSE firms wt show that medium-size trades an 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 Warners (1993) stealth-trading hypothesis. We find that the source of this disproportionately large cumulative prier 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. (C) 2001 Elsevier Science S.A. All rights reserved.