Kumar, Raman; Sarin, Atulya; Shastri, Kuldeep - In: Journal of Finance 47 (1992) 3, pp. 879-89
This paper investigates the behavior of stock and option prices around block trades in stocks. The results indicate that for both uptick and downtick block trades the stock prices adjust within a fifteen minute period after the block trade. Moreover, for uptick blocks there is no evidence of any...