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Stealth trading and volatility. Which trades move prices?

Опубликовано на портале: 02-10-2003
Journal of Financial Economics. 1993.  Vol. 34. No. 3. P. 281-305. 
We examine the proportion of a stock's cumulative price change that occurs in each trade-size category, using transactions data for a sample of NYSE firms. Although the majority of trades are small, most of the cumulative stock-price change is due to medium-size trades. This evidence is consistent with the hypothesis that informed trades are concentrated in the medium-size category, and that price movements are due mainly to informed traders' private information.

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текст статьи в формате PDF доступен на персональной страничке Майкла Барклая
J. Barclay):
http://www.simon.rochester.edu/fac/barclay/PublishedPapers/JFE1993b.pdf
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