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PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE

PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE 1 . REASONS PRICE 1 FOR MOVEMENTS INDIVIDUAL IN SECURITIES A. Information I n a perfectly efficient market where there are many small buyers and sellers each having equal access to information and where there are no transaction costs, prices of securities change (at any moment of time) only in response to new information3 about the expected return of the security or about its riskiness or because of a widespread change in investors’ risk-return preferences. A new piece of information establishes a new price level for the stock, which tends to be maintained until additional information warrants another Assistant Professor of Finance, Stanford University and Associate Professor of Finance, University of Pennsylvania. The research on which this paper is based was conducted by the authors as members of the Staff of the Institutional Investor Study, Securities and Exchange Commission. Research for the Study was a cooperative effort; members of the Staff who contributed to this paper are too numerous to list completely. However, particular credit is due Eric Scheuer, who was involved in all stages of the research and did almost all of the programming, and Seymour Smidt and Donald Farrar, who made many valuable suggestions. Robert Litzenberger http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE

Kraus, Alan; Stoll, Hans R.
The Journal of Finance , Volume 27 (3) – Jun 1, 1972
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References (7)

Publisher
Wiley
Copyright
1972 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1972.tb00985.x
Publisher site
See Article on Publisher Site

Abstract

1 . REASONS PRICE 1 FOR MOVEMENTS INDIVIDUAL IN SECURITIES A. Information I n a perfectly efficient market where there are many small buyers and sellers each having equal access to information and where there are no transaction costs, prices of securities change (at any moment of time) only in response to new information3 about the expected return of the security or about its riskiness or because of a widespread change in investors’ risk-return preferences. A new piece of information establishes a new price level for the stock, which tends to be maintained until additional information warrants another Assistant Professor of Finance, Stanford University and Associate Professor of Finance, University of Pennsylvania. The research on which this paper is based was conducted by the authors as members of the Staff of the Institutional Investor Study, Securities and Exchange Commission. Research for the Study was a cooperative effort; members of the Staff who contributed to this paper are too numerous to list completely. However, particular credit is due Eric Scheuer, who was involved in all stages of the research and did almost all of the programming, and Seymour Smidt and Donald Farrar, who made many valuable suggestions. Robert Litzenberger

Journal

The Journal of Finance – Wiley

Published: Jun 1, 1972

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