The Behavior of Stock Prices Around Institutional Trades
JOURNAL OF FINANCE, Vol 50 No. 4, September 1995
Posted: 25 Aug 1998
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.
JEL Classification: G10, G20
Suggested Citation: Suggested Citation