Permanent price impact asymmetry of trades with institutional constraints
| Autor: | Pankaj K. Jain, Chiraphol New Chiyachantana, Vivek Sharma, Christine X. Jiang |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
TheoryofComputation_MISCELLANEOUS
Economics and Econometrics Financial economics media_common.quotation_subject Institutional investor Diversification (finance) Mid price Monetary economics Asymmetry Information asymmetry 0502 economics and business Economics Statistical dispersion Price level Stock (geology) media_common 040101 forestry 050208 finance 05 social sciences 04 agricultural and veterinary sciences Capital (economics) Price dispersion 0401 agriculture forestry and fisheries Volatility (finance) Finance Limit price |
| Zdroj: | Journal of Financial Markets. 36:1-16 |
| ISSN: | 1386-4181 |
| DOI: | 10.1016/j.finmar.2017.07.005 |
| Popis: | Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus sells is positive at the initial stage of a price run-up and reverses due to changing constraints with a prolonged price run-up in a stock. Idiosyncratic volatility, analyst forecast dispersion, trading intensity, price dispersion, and bullish market conditions further sharpen the initial asymmetry, as well as its reversal after a price run-up. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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