This paper analyzes the effect on equity prices of large-block transactions negotiated ‘upstairs’. We develop a model of the upstairs market which yields testable hypotheses. We investigate these hypotheses with unique data for 5,625 block trades in 1985-1992. Unlike previous studies, all...

This paper examines the behavior of institutional traders. We use unique data on the equity transactions of 21 institutions of differing investment styles which provide a detailed account of the anatomy of the trading process. The data include information on the number of days needed to fill an...

This paper examines the execution costs and investment performance of $83 billion of recent equity transactions by 21 institutional traders. These traders are of particular interest because we have detailed information on the order submission strategy adopted by traders with different investment...

This paper examines the execution costs and investment performance of $83 billion of recent equity transactions by 21 institutional traders. These traders are of particular interest because we have detailed information on the order submission strategy adopted by traders with different investment...

This paper analyzes and contrasts the process of price formation under two alternative trading mechanisms: a continuous quote-driven system where dealers post prices before order submission and an order-driven system where traders submit their orders before prices are determined. The...