The Behavior of Stock Prices Around Institutional Trades
利用1986年7月至1988年12月间37家大型投资管理公司的所有交易数据，研究订单序列的价格冲击和执行成本，发现市场影响与公司市值、相对订单规模及管理公司身份相关。
All trades executed by thirty-seven 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 the authors interpret as an order. The authors 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. Copyright 1995 by American Finance Association.