An event time study of the price reaction to large retail trades

Alex Frino, Elvis Jarnecic, Andrew Lepone*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

This paper analyzes large retail trades using an event study approach. A major finding in studies of this nature is an immediate reversal on the trade subsequent to the large transaction, for both large purchases and large sales. This reversal is inconsistent with the overwhelming majority of previous findings which show a stock price continuation following purchases to the close of trading. We confirm the reversals first using transaction prices, and then show that continuations follow both large purchases and sales when quote data is used. These large trades do not lead to a fundamental change in stock price volatility. We conclude that the transaction price reversal is driven by natural bid-ask bounce around large purchases and large sales. Crown

Original languageEnglish
Pages (from-to)617-632
Number of pages16
JournalQuarterly Review of Economics and Finance
Volume49
Issue number2
DOIs
Publication statusPublished - May 2009
Externally publishedYes

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