Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation

By Gideon Saar. 2001

209 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d70ebe79866597e6e24800c4e940ea603fb514b8

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In Accounting

1. Tarun Ramadorai
2. Hong Liu
3. Junbo Wang
4. John Y. Campbell
5. Chunchi Wu
6. A. Schwartz
7. Haitao Li
8. Ron Kaniel

In Economics and Econometrics

1. Tarun Ramadorai
2. Hong Liu
3. Junbo Wang
4. John Y. Campbell
5. Yan He
6. Chunchi Wu
7. A. Schwartz
8. Haitao Li

In Finance

1. Tarun Ramadorai
2. Junbo Wang
3. Chunchi Wu
4. Hong Liu
5. John Y. Campbell
6. Yan He
7. A. Schwartz
8. Haitao Li

Citations in the corpus

• So What Orders Do Informed Traders Use (2006, result): “market orders, but consistent with the experimental findings of Bloomfield, O’Hara, and Saar (2003). It implies in particular that private information about future security returns may not be short lived and the fraction of informed traders may be significant.”
• Order aggressiveness in limit order book markets (2004, background): “The proxy for the order wait at t is the average of the time elapsed between the last three subsequent order arrivals (see S(andas, 2001).”
• Institutional Investors and the Informational Efficiency of Prices (2009, unknown): “Boehmer, E., G. Saar, and L. Yu, 2005, Lifting the veil: An analysis of pre-trade transparency at the NYSE, Journal of Finance 60, 783-815.”
• Individual Investor Trading and Stock Returns (2008, unknown): “In addition to past returns, our analysis controls for trading volume in light of evidence that volume is related to short-horizon returns (e.g., Conrad, Hameed, and Niden (1994), Gervais, Kaniel, and Mingelgrin (2001), and Llorente, Michaely, Saar, and Wang (2002)).”
• Informed trading and price discovery before corporate events (2015, unknown): “In a laboratory setting, Bloomfield, O’Hara and Saar (2013) show that both uninformed and informed agents use hidden”
• IQ, Trading Behavior, and Performance (2012, unknown): “This asymmetry hypothesis, first advanced by Chan and Lakonishok (1993) and Saar (2001), is supported by evidence from Kraus and Stoll (1972), Choe, McInish, and Wood (1995), Busse and Green (2002), and Cohen, Frazzini, and Malloy (2008).”
• Are Liquidity and Information Risks Priced in the Treasury Bond Market (2009, background): “Saar (2001) shows that this model can be applied to any trading mechanism that takes the form of a specialist (e.g., NYSE), multiple dealers (e.g., Nasdaq), or an electronic limit order book (e.g., the Paris Bourse).”
• Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, result): “The asymmetry in short-term returns is consistent with the results of Kaniel, Saar, and Titman (2008), who find that buying by individual investors predicts positive returns, but individual selling does not predict negative returns.”
• Does an Electronic Stock Exchange Need an Upstairs Market (2002, unknown): “Seppi (1990) describes mechanisms by which an upstairs broker can distinguish between informed and uninformed traders. This allows the broker to screen informed traders from the upstairs market, lowering adverse selection costs for large liquidity traders. This paper extends our understanding of the”