Publication Type

Journal Article

Publication Date

7-2017

Abstract

Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus sells is positive at the initial stage of a price run-up and reverses due to changing constraints with a prolonged price run-up in a stock. Idiosyncratic volatility, analyst forecast dispersion, trading intensity, price dispersion, and bullish market conditions further sharpen the initial asymmetry, as well as its reversal after a price run-up.

Keywords

Permanent price impact Asymmetry, Institutional investors: Information asymmetry

Discipline

Finance | Finance and Financial Management

Research Areas

Finance

Publication

Journal of Financial Markets

ISSN

1386-4181

Identifier

10.1016/j.finmar.2017.07.005

Publisher

Elsevier

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

https://doi.org/10.1016/j.finmar.2017.07.005

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