Template-Type: ReDIF-Paper 1.0
Author-Name:  Alex Frino
Author-Email:  alex.frino@sydney.edu.au
Author-Workplace-Name: University of Sydney - Discipline of Finance
Author-Name:  Vito Mollica
Author-Email:  vito.mollica@mgsm.edu.au
Author-Workplace-Name: Macquarie Graduate School of Management, Australia
Author-Name:  Maria Grazia Romano
Author-Email:  maromano@unisa.it
Author-Workplace-Name: Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno
Title:  Asymmetry in the Permanent Price Impact of Block Purchases and Sales: Theory and Empirical Evidence
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
Creation-Date: 2012-11
Publication-Status: Published in Working Papers, november 2012, pages 1-22
File-URL:http://www.dises.unisa.it/RePEc/sep/wpaper/3_225.pdf
File-Format:Application/pdf
File-Function:First version, 2012
Number:3_225
Classification-JEL:G14,G15
Keywords:block trade, market impact,asymmetry
Handle:RePEc:sep:wpaper:3_225