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Optimal Statistical Decisions
- Publisher
- Oxford University Press
- Copyright
- Copyright © 2015 Society for Financial Studies
- ISSN
- 0893-9454
- eISSN
- 1465-7368
- DOI
- 10.1093/rfs/9.1.1
- Publisher site
- See Article on Publisher Site
Abstract
This article develops a model of the upstairs market where order size, beliefs, and prices are determined endogenously. We test the model’s predictions using unique data for 5,625 equity trades during the period 1985 to 1992 that are known to be upstairs transactions and are identified as either buyer or seller initiated. We find that price movements prior to the trade date are significantly positively related to trade size, consistent with information leakage as the block is “shopped” upstairs. Further, the temporary price impact or liquidity effect is a concave function of order size, which may result from upstairs intermediation. Oxford University Press « Previous | Next Article » Table of Contents This Article Rev. Financ. Stud. (1996) 9 (1): 1-36. doi: 10.1093/rfs/9.1.1 » Abstract Free Full Text (HTML) Free Full Text (PDF) Free Classifications Article Services Article metrics Alert me when cited Alert me if corrected Find similar articles Similar articles in Web of Science Add to my archive Download citation Request Permissions Citing Articles Load citing article information Citing articles via CrossRef Citing articles via Scopus Citing articles via Web of Science Citing articles via Google Scholar Google Scholar Articles by Keim, D. B. Articles by Madhavan, A. Search for related content Related Content G12 - Asset Pricing; Trading volume; Bond Interest Rates Load related web page information Share Email this article CiteULike Delicious Facebook Google+ Mendeley Twitter What's this? 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Journal
The Review of Financial Studies – Oxford University Press
Published: Jan 1, 1996