The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects

Review of Financial Studies

Volumn 9, Issue 1, 1996, Pages 1-36

  Keim, Donald B ^a   Madhavan, Ananth ^b  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030537136     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/9.1.1     Document Type: Article

References (28)

1. Ball, R., and F. J. Finn, 1989, "The Effect of Block Transactions on Share Prices: Australian Evidence," Journal of Banking and Finance, 13, 397-419.
2. Blume, M., and R. Stambaugh, 1983, "Biases in Computed Returns: An Application to the Size Effect," Journal of Financial Economics, 12, 387-404.
3. Burden, K., and M. O'Hara, 1987, "Building Blocks: An Introduction to Block Trading," Journal of Banking and Finance, 11, 193-212.
4. Chan, L., and J. Lakonishok, 1993a, "The Behavior of Stock Prices Around Institutional Trades," working paper, University of Illinois.
5. Chan, L., and J. Lakonishok, 1993b, "Institutional Trades and Intra-Day Stock Price Behavior," Journal of Financial Economics, 33, 173-200.
6. Cheng, M., and A. Madhavan, 1995, "In Search of Liquidity: An Analysis of Upstairs and Downstairs Trades," working paper, University of Southern California.
7. Choe, H., T. H. McInish, and R. A. Wood, 1991, "Market Mircrostructure Effects on the Measurement of the Impact of Block Trades," working paper, Pennsylvania State University.
8. DeGroot, M. H., 1970, Optimal Statistical Decisions, McGraw-Hill, New York.
9. Glosten, L., 1989, "Insider Trading, Liquidity, and the Role of the Monopolist Specialist," Journal of Business, 62, 211-235.
10. Glosten, L., and L. Harris, 1988, "Estimating the Components of the Bid-Ask Spread," Journal of Financial Economics, 21, 123-142.
11. Grossman, S., 1992, "The Informational Role of Upstairs and Downstairs Markets," Journal of Business, 65, 509-529.
12. Hasbrouck, J., and G. Sofianos, 1993, "The Trades of Market-Makers: An Analysis of NYSE Specialists," Journal of Finance, 48, 1565-1595.
13. Hasbrouck, J., G. Sofianos, and D. Sosebee, 1993, "New York Stock Exchange Systems and Trading Procedures," working paper, New York Stock Exchange.
14. Hausman, J., A. Lo, and A. C. MacKinlay, 1992, "An Ordered Probit Analysis of Transaction Stock Prices," Journal of Financial Economics, 31, 319-380.
15. Holthausen, R., R. Leftwich, and D. Mayers, 1987, "The Effect of Large Block Transactions on Security Prices: A Cross-Sectional Analysis," Journal of Financial Economics, 19, 237-267.
16. Holthausen, R., R. Leftwich, and D. Mayers, 1990, "Large-Block Transactions, the Speed of Response, and Temporary and Permanent Stock-Price Effects," Journal of Financial Economics, 26, 71-95.
17. Keim, D. B., 1989, "Trading Patterns, Bid-Ask Spreads, and Estimated Security Returns: The Case of Common Stocks at Calendar Turning Points," Journal of Financial Economics, 25, 75-97.
18. Kraus, A., and H. Stoll, 1972, "Price Impacts of Block Trading on the New York Stock Exchange," Journal of Finance, 27, 569-588.
19. Madhavan, A., 1992, "Trading Mechanisms in Securities Markets," Journal of Finance, 47, 607-642.
20. Madhavan, A., and S. Smidt, 1993, "An Analysis of Daily Changes in Specialist Inventories and Quotations," Journal of Finance, 48, 1595-1628.
21. Mikkelson, W., and M. Partch, 1985, "Stock Price Effects and Costs of Secondary Distributions," Journal of Financial Economics, 14, 165-194.
22. Nelling, E. F., 1992, "Large Block Trades and Positive Feedback Investment Strategies," working paper, University of Pennsylvania.
23. New York Stock Exchange, 1993, Fact Book, New York Stock Exchange, New York.
24. Robinson, M. J., and R. W. White, 1991, "An Inter-Market Comparison of the Cost of Trading Common Stocks: The Case of Block Trades in Canada and the U.S.," working paper, University of Western Ontario.
25. Scholes, M., 1972, "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Price," Journal of Business, 45, 179-211.
26. Seppi, D., 1990, "Equilibrium Block Trading and Asymmetric Information," Journal of Finance, 45, 73-94.
27. Seppi, D., 1992a, "Block Trading and Information Revelation around Quarterly Earnings Announcements," Review of Financial Studies, 5, 281-305.
28. Seppi, D. J., 1992b, "How Important are Block Trades in the Price Discovery Process?," working paper, GSIA, Carnegie Mellon University.