THE BEHAVIOR OF STACK PRICES AROUND INSTITUTIONAL TRADES

被引：308

作者：

CHAN, LKC

LAKONISHOK, J

机构：

来源：

JOURNAL OF FINANCE | 1995年 / 50卷 / 04期

关键词：

D O I：

10.2307/2329347

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1147 / 1174

页数：28

共 24 条

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[2]

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