TY - JOUR
T1 - Institutional trades and intraday stock price behavior
AU - Chan, Louis K.C.
AU - Lakonishok, Josef
N1 - Funding Information:
College of Commerce and Business Administration, Univer-Commerce West Building, 1206 South Sixth Street, Cham- *We thank Gil Beebower and Vasant Kamath from SE1 for providing us with the data and for sharing their insights on various aspects of trading. We also thank William Bryan, Eugene Fama, Kenneth French, Charles Lee, Richard Leftwich. Harold Mulherin, Mitchell Petersen, Mark Ready, Jay Ritter, Andrei Shleifer, and G. William Schwert (referee) for helpful suggestions, and Rohit Gupta and Peng Tu for research assistance. This paper has been presented at the Amsterdam Institute of Finance, the Conference on Security Markets Transaction Costs at Vanderbilt University, the CRSP seminar at the University of Chicago, INSEAD. the Institute of Quantitative Investment Research (Europe), the NBER Summer Conference on Behavioral Finance, Ohio State University, Tel Aviv University, the University of Illinois, and the University of Wisconsin at Madison. Computing support was provided by the National Center for Supercomputing Applications, University of Illinois at Urbana-Champaign.
PY - 1993/4
Y1 - 1993/4
N2 - This paper examines the price effect of institutional stock trading, using a unique data set that reports the transactions (large and small) of 37 large institutional money management firms. The direction of each trade and the identity of the management firm behind each trade are known. Although institutional trades are associated with some price pressure, we find that the average effect is small. There is also a marked asymmetry between the price impact of buys versus sells. We relate our findings to various hypotheses on the elasticity of demand for stocks, the cost of executing transactions, and the determinants of market impact. Although market capitalization and relative trade size influence the market impact of a trade, the dominant influence is the identity of the money manager behind the trade.
AB - This paper examines the price effect of institutional stock trading, using a unique data set that reports the transactions (large and small) of 37 large institutional money management firms. The direction of each trade and the identity of the management firm behind each trade are known. Although institutional trades are associated with some price pressure, we find that the average effect is small. There is also a marked asymmetry between the price impact of buys versus sells. We relate our findings to various hypotheses on the elasticity of demand for stocks, the cost of executing transactions, and the determinants of market impact. Although market capitalization and relative trade size influence the market impact of a trade, the dominant influence is the identity of the money manager behind the trade.
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U2 - 10.1016/0304-405X(93)90003-T
DO - 10.1016/0304-405X(93)90003-T
M3 - Article
AN - SCOPUS:43949169695
SN - 0304-405X
VL - 33
SP - 173
EP - 199
JO - Journal of Financial Economics
JF - Journal of Financial Economics
IS - 2
ER -