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Publication year
The Behavior of Stock Prices Around Institutional Trades.
Resource type
Authors/contributors
- Chan, Louis K C (Author)
- Lakonishok, Josef (Author)
Title
The Behavior of Stock Prices Around Institutional Trades.
Abstract
All trades executed by thirty-seven 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 the authors interpret as an order. The authors 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.
Publication
The Journal of Finance
Volume
50
Issue
4
Pages
1147-74
Date
1995-09
Citation
Chan, L. K. C., & Lakonishok, J. (1995). The Behavior of Stock Prices Around Institutional Trades. The Journal of Finance, 50, 1147–1174.
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