Institutional trades and intraday stock price behavior
Article Abstract:
A study of the effects on stock prices of institutional securities trading indicates the average effect is slight, although it varies considerably depending on the identity of the money manager involved. The analysis is based on data on trades of 37 large institutional money management firms over a 2.5 year period. Intraday price movement was tracked. Stock prices were seen to continue rising after purchases, but after sales the stock price falls to its earlier level. The effect, however, is smaller than previously reported by others. Possible reasons for the stock price movement asymmetry are offered.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1993
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Measuring abnormal performance: do stocks overreact?
Article Abstract:
Stocks display abnormal behavior, with smaller firms manifesting overreaction effects more distinctly. A multiple regression analysis of stock portfolios reveals that extreme losers surpass the performance of extreme winners by 5-10% annually during the next five years. The analysis took into account correlated variablesof size, prior returns and betas. The abnormal behavior of smaller firms indicates that overreactions in the stock market are more prevalent among individuals, who normally hold the smaller firms, than institutional investors,who are the dominant holders in the large firms.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1992
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The market reaction to international cross-listings: evidence from Depositary Receipts
Article Abstract:
The prices of internationally dually-listed stocks were studied with emphasis on the effects of announcing a Depositary Receipt (DR) program. The stocks investigated belong to 181 firms from 35 countries who implemented their first DR program from 1985-1995. The influence of factors such as illiquidity and share value recognition, on a stock's price and the cost of capital has also been investigated. Results show that foreign stocks listed on the New York Stock Exchange or Nasdaq experience the biggest abnormal returns.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1999
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