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LARGE-BLOCK TRANSACTIONS, THE SPEED OF RESPONSE, AND TEMPORARY AND PERMANENT STOCK-PRICE EFFECTS

被引：171
作者：
HOLTHAUSEN, RW
LEFTWICH, RW
MAYERS, D
机构：
[1] UNIV CHICAGO,CHICAGO,IL 60637
[2] OHIO STATE UNIV,COLUMBUS,OH 43210
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1990年 / 26卷 / 01期
关键词：
D O I：
10.1016/0304-405X(90)90013-P
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The paper investigates how quickly prices attain new equilibrium levels after large-block transactions, and measures the associated temporary and permanent price effects. We find that prices adjust within at most three trades, with most of the adjustment occurring in the first trade. The temporary price effect for seller-initiated transactions is related to block size, but the temporary price effect observed for buyer-initiated transactions is no larger than that observed in 100 share trades. Most of the price effect associated with block trades is permanent and is related to block size, regardless of the initiating party. © 1990.
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页码：71 / 95
页数：25
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