This paper analyzes large retail trades using an event study approach. A major finding in studies of this nature is an immediate reversal on the trade subsequent to the large transaction, for both large purchases and large sales. This reversal is inconsistent with the overwhelming majority of previous findings which show a stock price continuation following purchases to the close of trading. We confirm the reversals first using transaction prices, and then show that continuations follow both large purchases and sales when quote data is used. These large trades do not lead to a fundamental change in stock price volatility. We conclude that the transaction price reversal is driven by natural bid-ask bounce around large purchases and large sales.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.