Stealth-trading: Which traders' trades move stock prices?

Using audit trail data for a sample of NYSE firms wt show that medium-size trades an associated with a disproportionately large cumulative stock price change relative to their proportion of all trades and volume. This result is consistent with the predictions of Barclay and Warners (1993) stealth-trading hypothesis. We find that the source of this disproportionately large cumulative prier impact of medium-size trades is trades initiated by institutions. This result is robust to various sensitivity checks. Our findings appear to confirm street lore that institutions are informed traders. (C) 2001 Elsevier Science S.A. All rights reserved.