Access the full text.
Sign up today, get DeepDyve free for 14 days.
Larry Dann, D. Mayers, Robert Raab (1977)
Trading rules, large blocks and the speed of price adjustmentJournal of Financial Economics, 4
Satterthwaite Fe (1946)
An approximate distribution of estimates of variance components.Biometrics, 2
W. Mikkelson, M. Partch (1985)
Stock price effects and costs of secondary distributionsJournal of Financial Economics, 14
A. Hess, P. Frost (1982)
Tests for Price Effects of New Issues of Seasoned SecuritiesJournal of Finance, 37
Fama Fama, Fisher Fisher, Jensen Jensen, Roll Roll (February 1969)
“The Adjustment of Stock Prices to New Information.”International Economic Review, 10
A. Kraus, H. Stoll (1972)
PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGEJournal of Finance, 27
E. Fama, L. Fisher, M. Jensen, Richard Roll (1969)
The Adjustment of Stock Prices to New InformationCapital Markets: Market Efficiency eJournal
Myron Scholes (1972)
The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share PricesThe Journal of Business, 45
ABSTRACT Attempts to identify price pressures caused by large transactions may be inconclusive if the transactions convey new information to the market. This problem is addressed in an examination of prices and volume surrounding changes in the composition of the S&P 500. Since these changes cause some investors to adjust their holdings of the affected securities and since it is unlikely that the changes convey information about the future prospects of these securities, they provide an excellent opportunity to study price pressures. The results are consistent with the price‐pressure hypothesis: immediately after an addition is announced, prices increase by more than 3 percent. This increase is nearly fully reversed after 2 weeks.
The Journal of Finance – Wiley
Published: Sep 1, 1986
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.