Premium
The Behavior of Stock Prices Around Institutional Trades
Author(s) -
CHAN LOUIS K. C.,
LAKONISHOK JOSEF
Publication year - 1995
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1995.tb04053.x
Subject(s) - immediacy , capitalization , order (exchange) , business , market capitalization , monetary economics , industrial organization , stock exchange , stock (firearms) , economics , stock market , finance , mechanical engineering , paleontology , philosophy , linguistics , epistemology , horse , engineering , biology
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.