The Information Content of Institutional Trades on the London Stock Exchange

Aslihan Bozcuk and Meziane Lasfer

Journal of Financial and Quantitative Analysis, 2005, vol. 40, issue 3, 621-644

Abstract: We construct a unique data set that includes all reported institutional block trades on the London Stock Exchange and analyze the market reaction to buy and sell trades. We find that the type of investors behind the trade and the combination of the trade's size and the trader's resulting level of ownership are the major determinants of the information effects and the asymmetry between price impacts of buy and sell trades. In particular, large trades undertaken by fund managers, the most active investors in our sample, have strong information content, while, for the remaining trades, we report limited support for the information and the price impact asymmetry hypotheses. These results hold even after accounting for trade complexity and volatility effects in the regressions.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:40:y:2005:i:03:p:621-644_00

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