Hendershott, Terrence; Menkveld, Albert J. - 2010
We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary … intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 … model the 'representative' intermediary uses price pressure to control risk through inventory mean reversion. She trades off …