کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
982312 1480468 2009 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An event time study of the price reaction to large retail trades
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
An event time study of the price reaction to large retail trades
چکیده انگلیسی

This paper analyzes large retail trades using an event study approach. A major finding in studies of this nature is an immediate reversal on the trade subsequent to the large transaction, for both large purchases and large sales. This reversal is inconsistent with the overwhelming majority of previous findings which show a stock price continuation following purchases to the close of trading. We confirm the reversals first using transaction prices, and then show that continuations follow both large purchases and sales when quote data is used. These large trades do not lead to a fundamental change in stock price volatility. We conclude that the transaction price reversal is driven by natural bid-ask bounce around large purchases and large sales.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 2, May 2009, Pages 617–632
نویسندگان
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