search query: @author Saar, G. / total: 3
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| Author: | Saar, G. |
| Title: | Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation |
| Journal: | Review of Financial Studies
2001 : WINTER, VOL. 14:4, p. 1153-1181 |
| Index terms: | PRICES TRADE INSTITUTIONAL INVESTORS |
| Language: | eng |
| Abstract: | This article develops a theoretical model to explain the permanent price impact asymmetry between buyer- and seller-initiated block trades (the permanent price impact of buys is larger than that of sells). The model shows how the trading strategy of institutional portfolio managers creates a difference between the information content of buys and sells. The main implication of the model is that the history of price performance influences the asymmetry: the longer the run-up in a stock's price, the less the asymmetry. The intensity of institutional trading and the frequency of information events affect the asymmetry differently depending on recent price performance. |
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