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

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  • Sugato Chakravarty

    (Purdue University)

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.

Suggested Citation

  • Sugato Chakravarty, 2002. "Stealth-Trading: Which Traders' Trades Move Stock Prices?," Finance 0201003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0201003
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    References listed on IDEAS

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    More about this item

    Keywords

    stealth-trading; adverse selection; informed trading; trade size;
    All these keywords.

    JEL classification:

    • G0 - Financial Economics - - General

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