The Behavior of Stock Prices Around Institutional Trades
利用1986至1988年间37家大型投资管理公司的所有交易数据，研究交易序列（即订单）的价格冲击和执行成本，发现市场影响与公司市值、相对交易规模及管理公司身份相关，对流动性需求高的经理人市场影响更大。
ABSTRACT All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence (“package”) of trades that we interpret as an order. We find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact.