Topic
Block trade
About: Block trade is a research topic. Over the lifetime, 298 publications have been published within this topic receiving 18070 citations.
Papers published on a yearly basis
Papers
TL;DR: In this paper, the authors evaluate alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data and identify two serious potential problems with this method, namely, that quotes are often recorded ahead of the trade that triggered them and that trades inside the spread are not readily classifiable.
Abstract: This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote-based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications. THE INCREASING AVAILABILITY OF intraday trade and quote data is opening new frontiers for financial market research. The improved ability to discern whether a trade was a buy order or a sell order is of particular importance. In Hasbrouck (1988), the classification of trades as buys or sells is used to test asymmetric-information and inventory-control theories of specialist behavior. In Blume, MacKinlay, and Terker (1989), a buy-sell classification is used to measure order imbalance in tests of breakdowns in the linkage between S&P stocks and non-S&P stocks during the crash of October, 1987. In Harris (1989), an increase in the ratio of buys to sells is used to explain the anomalous behavior of closing prices. In Lee (1990), the imbalance in buy-sell orders is used to measure the market response to an information event. In Holthausen, Leftwich, and Mayers (1987), a buy-sell classification is used to examine the differential effect of buyer-initiated and seller-initiated block trades. Most past studies have classified trades as buys or sells by comparing the trade price to the quote prices in effect at the time of the trade. In this paper, we identify two serious potential problems with this method, namely, that quotes are often recorded ahead of the trade that triggered them, and that
3,641 citations
TL;DR: In this paper, the effect of trade size on security prices was investigated and it was shown that informed traders tend to trade larger amounts at any given price, and market makers' pricing strategies must also depend on trade size.
2,568 citations
TL;DR: In this paper, the authors analyzed the pricing of 63 block trades between 1978 and 1982 involving at least 5% of the common stock of NYSE or Amex corporations and argued that the premiums reflect private benefits that accrue exclusively to the blockholder because of his voting power.
1,327 citations
TL;DR: In this paper, the authors analyzed the price impact and execution cost of 37 large investment management firms from July 1986 to December 1988 and found that market impact and trading cost are related to firm capitalization, relative package size, and the identity of the management firm behind the trade.
Abstract: All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence ("package") of trades that we interpret as an order. We find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact. FINANCIAL ECONOMISTS HAVE LONG studied the equity trading process and its impact on stock prices. Much prior empirical research isolates individual trades and analyzes the behavior of the stock price around each trade. See, for example, Kraus and Stoll (1972a), Holthausen, Leftwich, and Mayers (1987, 1990), Keim and Madhavan (1991), Petersen and Umlauf (1991), Hausman, Lo, and MacKinlay (1992) and Chan and Lakonishok (1993). Evaluating the behavior of stock prices around trades provides a means of discriminating among various hypotheses as to the elasticity of the demand for stocks; yields an estimate of the cost of executing trades and a measure of the liquidity of a market; and permits tests of different models of the determination of quotes and transaction prices. For many institutional investors, however, even a moderately-sized position in a stock may represent a large fraction of the stock's trading volume. Accordingly, an investment manager's order is often broken up into several trades. It is often misleading, therefore, to consider an individual trade as the basic unit of analysis in the study of trading activity and its effects on prices. This paper uses the record of trades executed by 37 large investment manage
851 citations
TL;DR: In this paper, the authors examine the extent to which block trading by institutional investors contributes to or detracts from efficient stock markets, defined as a transaction involving a larger number of shares than can readily be handled in the normal course of the auction market.
Abstract: IN AN EFFICIENT market, prices reflect underlying values. This insures the proper allocation of new funds to the most productive areas of the economy. Additionally, individual investors benefit by knowing that prices at which they trade are not subject to forces which have little or nothing to do with the underlying value of the company. Extensive empirical tests which tend to support the efficiency of the stock market have been carried out in the past.' Until recently, however, no tests have been carried out to assess directly the impact of institutional investors on the efficiency of the stock market.2 The purpose of this paper is to examine the extent to which block trading by institutional investors contributes to or detracts from efficient markets. A block trade can be defined as a transaction involving a larger number of shares than can readily be handled in the normal course of the auction market.
769 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 3 |
| 2020 | 8 |
| 2019 | 8 |
| 2018 | 10 |
| 2017 | 18 |
| 2016 | 11 |