Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence

Alex Frino (), Vito Mollica () and Maria Romano
Additional contact information
Alex Frino: University of Sydney - Discipline of Finance
Vito Mollica: Macquarie Graduate School of Management, Australia

No 3_225, Working Papers from Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno

Abstract: This paper extends previous research which has examined the market impact of large transactions in bull and bear markets by examining the information effects of trades. Previous research has demonstrated that the information effects of buy trades are greater than the information effects of sell trades. We develop a theoretical model which predicts that this difference is greater in bear markets than bull markets, consistent with the (almost counter-intuitive) proposition that buy trades are relatively more informed in bear markets. Using a sample of trades executed on the NYSE in bull and bear market periods, we find evidence consistent with our primary theoretical model

Keywords: block trade; market impact; asymmetry (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2012-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Working Papers, november 2012, pages 1-22

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http://www.dises.unisa.it/RePEc/sep/wpaper/3_225.pdf First version, 2012 (application/pdf)

Related works:
Journal Article: Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:sep:wpaper:3_225

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