Posted On: 06/13/2014 12:26:36 PM
Post# of 30066
stealth-trading hypothesis
Trade sizes are classified as small (100–499 shares), medium (500–9,999 shares), and large (10,000+shares)
Medium-size trades have a disproportionately large cumulative price
change associated with them (92%) relative to their proportion of all trades or overall volume
Using audit trail data for a sample of NYSE firms, we first show that
medium-size trades are associated with the largest cumulative stock price
change – a result consistent with the stealth-trading hypothesis
Trade sizes are classified as small (100–499 shares), medium (500–9,999 shares), and large (10,000+shares)
Medium-size trades have a disproportionately large cumulative price
change associated with them (92%) relative to their proportion of all trades or overall volume
Using audit trail data for a sample of NYSE firms, we first show that
medium-size trades are associated with the largest cumulative stock price
change – a result consistent with the stealth-trading hypothesis
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