THE EFFECT OF LARGE BLOCK TRANSACTIONS ON SECURITY PRICES - A CROSS-SECTIONAL ANALYSIS

被引：182

作者：

HOLTHAUSEN, RW ^{[1
]}

LEFTWICH, RW ^{[1
]}

MAYERS, D ^{[1
]}

机构：

[1] OHIO STATE UNIV,COLUMBUS,OH 43210

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1987年 / 19卷 / 02期

关键词：

D O I：

10.1016/0304-405X(87)90004-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：237 / 267

页数：31

共 18 条

[1]

BAGEHOT W, 1971, FINANCIAL ANAL J, V22, P12

[2]

BALL R, 1983, UNPUB EFFECT BLOCK T

[3]

BARCLAY MJ, 1986, UNPUB ANNOUNCEMENT E

[4] BID-ASKED SPREADS ON AMEX AND BIG BOARD [J].

BRANCH, B ;

FREED, W .

JOURNAL OF FINANCE, 1977, 32 (01) :159-163

[5] INFORMATION EFFECTS ON THE BID-ASK SPREAD [J].

COPELAND, TE ;

GALAI, D .

JOURNAL OF FINANCE, 1983, 38 (05) :1457-1469

[6] TRADING RULES, LARGE BLOCKS AND SPEED OF PRICE ADJUSTMENT [J].

DANN, LY ;

MAYERS, D ;

RAAB, RJ .

JOURNAL OF FINANCIAL ECONOMICS, 1977, 4 (01) :3-22

[7] COST OF TRANSACTING [J].

DEMSETZ, H .

QUARTERLY JOURNAL OF ECONOMICS, 1968, 82 (01) :33-53

[8] BID, ASK AND TRANSACTION PRICES IN A SPECIALIST MARKET WITH HETEROGENEOUSLY INFORMED TRADERS [J].

GLOSTEN, LR ;

MILGROM, PR .

JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (01) :71-100

[9] OPTIMAL DEALER PRICING UNDER TRANSACTIONS AND RETURN UNCERTAINTY [J].

HO, T ;

STOLL, HR .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) :47-73

[10] PRICE IMPACTS OF BLOCK TRADING ON NEW-YORK STOCK EXCHANGE [J].

KRAUS, A ;

STOLL, HR .

JOURNAL OF FINANCE, 1972, 27 (03) :569-588

← 1 2 →