Permanent price impact asymmetry of trades with institutional constraints
Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus s...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5307 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6306/viewcontent/Permanent_price_impact_asymmetry_2016_afv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |