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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.

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File URL: http://128.118.178.162/eps/fin/papers/0201/0201003.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0201003.

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Date of creation: 18 Jan 2002
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Handle: RePEc:wpa:wuwpfi:0201003

Note: Type of Document - pdf; prepared on IBM PC; to print on HP/PostScript; pages: ; figures:
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Web page: http://128.118.178.162

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Keywords: stealth-trading; adverse selection; informed trading; trade size;

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References

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