Arbeitspapier
Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?
Large trades have a smaller price impact per share than medium-sized trades. So far, the literature has attributed this effect to the informational content of trades. In this paper, we show that this effect can arise from strategic order placement. We introduce the concept of a liquidity elasticity, measuring the responsiveness of liquidity demand with respect to changes in liquidity supply, as a major driver for a declining price impact per share. Empirical evidence based on Nasdaq stocks strongly supports theoretical predictions and shows that the aspect of liquidity coor- dination is an important complement to rationales based on asymmetric information.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper Series ; No. 625
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Pension Funds; Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- Thema
-
stealth trading
price impact
liquidity elasticity
limit order book
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cebiroglu, Gökhan
Hautsch, Nikolaus
Walsh, Christopher
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2019
- Handle
- URN
-
urn:nbn:de:hebis:30:3-509904
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cebiroglu, Gökhan
- Hautsch, Nikolaus
- Walsh, Christopher
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2019
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