Stealth-Trading: Which Traders' Trades Move Stock Prices?

Sugato Chakravarty ()

Finance from EconWPA

Abstract: Using audit trail data for a sample of NYSE firms, we show that medium size trades are 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 the stealth- trading hypothesis (Barclay and Warner (1993)). We find that the source of this disproportionately large cumulative price impact of medium size trades is trades initiated by institutions. This result appears robust to various sensitivity checks. Our findings appear to confirm street lore that institutions are informed traders.

Keywords: stealth-trading; adverse selection; informed trading; trade size (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk
Date: 2002-01-18
Note: Type of Document - pdf; prepared on IBM PC; to print on HP/PostScript; pages: ; figures:
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Journal Article: Stealth-trading: Which traders' trades move stock prices? (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0201003

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