文档介绍：The Upstairs Market for
Large-Block Transactions:
Analysis and Measurement
of Price Effects
Donald B. Keim
University of Pennsylvania
Ananth Madhavan
University of Southern California, Los Angeles
This article develops a model of the upstairs
market where order size, beliefs, and prices are
determined endogenously. We test the model’s
predictions using unique data for 5,625 equity
trades during the period 1985 to 1992 that are
known to be upstairs transactions and are iden-
tified as either buyer or seller initiated. We find
that price movements prior to the trade date are
significantly positively related to trade size, con-
sistent with information leakage as the block
is “shopped” upstairs. Further, the temporary
price impact or liquidity effect is a concave func-
tion of order size, which may result from up-
stairs intermediation.
We thank Margaret Forster, Thomas e, Larry Glosten, Gary Gorton,
Larry Harris, David Mauer, Oded Sarig, Byron Snider, Chester Spatt (the edi-
tor), and an anonymous referee for their ments. Seminar partic-
ipants at Boston College, Columbia University, INSEAD, London Business
School, Ohio State University, Temple University, University of Maryland,
University of Southern California, University of Wisconsin, Washington Uni-
versity, the 1991 Johnson Symposium, the American Finance Association
Meetings, and the European Finance Association Meetings provided many
useful suggestions. We also thank Dimensional Fund Advisors, Inc., for pro-
viding us with the data used here, and the Q-Group and the Geewax-Terker
Research Program at Wharton for their financial assistance. Edward Nelling
and Pasi Hamalainen provided expert research assistance. Any errors are
entirely our own. Address all correspondence to Donald Keim, Wharton
School, University of Pennsylvania, Philadelphia, PA 19104.
The Review of Financial Studies Spring 1996 Vol. 9, No. 1, pp. 1–36
c 1996 The Review of Financial Studies 0893-9454/96/$
T