| dc.contributor.author | Frino, Alex | |
| dc.contributor.author | Mollica, Vito | |
| dc.contributor.author | Romano, Maria Grazia | |
| dc.date.accessioned | 2016-07-13T09:44:20Z | |
| dc.date.available | 2016-07-13T09:44:20Z | |
| dc.date.issued | 2012 | |
| dc.identifier.citation | Frino, A., Mollica V. and Romano, M. G. (2012). “Asymmetry in the permanent price impact of block purchases and sales: theory and empirical evidence”. DISES Working Paper 3.225, Università degli Studi di Salerno, Dipartimento di Scienze Economiche e Statistiche. | it_IT |
| dc.identifier.isbn | 978-88-6197-058-08 | it_IT |
| dc.identifier.issn | 1971-3029 | it_IT |
| dc.identifier.uri | http://hdl.handle.net/10556/2115 | |
| dc.description.abstract | This paper extends previous research which has examined the market impact of
large transactions in bull and bear markets by examining the information effects of trades.
Previous research has demonstrated that the information effects of buy trades are greater
than the information effects of sell trades. We develop a theoretical model which predicts
that this difference is greater in bear markets than bull markets, consistent with the (almost
counter-intuitive) proposition that buy trades are relatively more informed in bear markets.
Using a sample of trades executed on the NYSE in bull and bear market periods, we find
evidence consistent with our primary theoretical model. | it_IT |
| dc.format.extent | 22 p. | it_IT |
| dc.language.iso | en | it_IT |
| dc.relation.ispartof | Working Papers ; 3.225 | it_IT |
| dc.source | UniSa. Sistema Bibliotecario di Ateneo | it_IT |
| dc.subject | Block trade | it_IT |
| dc.subject | Market impact | it_IT |
| dc.subject | Asymmetry | it_IT |
| dc.title | Asymmetry in the permanent price impact of block purchases and sales: theory and empirical evidence | it_IT |
| dc.type | Working Paper | it_IT |
