Fan, Longzhen; Hu, Bill; Jiang, Christine - In: Pacific-Basin Finance Journal 20 (2012) 3, pp. 378-397
We study the pricing mechanisms and information content of block trades on the Shanghai Stock Exchange (SSE) for the six year period from 2003 to 2009.There is an average of about 4% block discount, which is large in magnitude and statistically significant, reflecting compensation for locating...