Publication Type
Journal Article
Version
acceptedVersion
Publication Date
11-2017
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
Volume
36
First Page
1
Last Page
16
ISSN
1386-4181
Identifier
10.1016/j.finmar.2017.07.005
Publisher
Elsevier
Citation
CHIYACHANTANA, Chiraphol N.; JAIN, Pankaj; JIANG, Christine; and SHARMA, Vivek.
Permanent price impact asymmetry of trades with institutional constraints. (2017). Journal of Financial Markets. 36, 1-16.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5307
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.finmar.2017.07.005