Pricing and information content of block trades on the Shanghai Stock Exchange

Aitken, 1996, Execution costs associated with institutional trades on the Australian Stock Exchange, Pacific-Basin Finance Journal, 4, 45, 10.1016/0927-538X(95)00021-C Barber, 2009, Do retail trades move markets?, Review of Financial Studies, 22, 151, 10.1093/rfs/hhn035 Barclay, 1989, Private benefits from control of public corporations, Journal of Financial Economics, 25, 371, 10.1016/0304-405X(89)90088-3 Bessembinder, 2004, Does an electronic stock exchange need an upstairs market?, Journal of Financial Economics, 73, 3, 10.1016/j.jfineco.2003.05.005 Booth, 2002, Trading and pricing in upstairs and downstairs stock markets, Review of Financial Studies, 15, 1111, 10.1093/rfs/15.4.1111 Chan, 1993, Institutional trades and intraday stock price behavior, Journal of Financial Economics, 33, 173, 10.1016/0304-405X(93)90003-T Chan, 1995, The behavior of stock prices around institutional trades, Journal of Finance, 50, 1147, 10.2307/2329347 Chen, 2001 Chiyachantana, 2004, International evidence on institutional trading behavior and price impact, Journal of Finance, 59, 869, 10.1111/j.1540-6261.2004.00651.x Domowitz, 2001, Liquidity, volatility and equity trading costs across countries and over time, International Finance, 4, 221, 10.1111/1468-2362.00072 Easley, 1987, Price, trade size, and information in securities markets, Journal of Financial Economics, 19, 69, 10.1016/0304-405X(87)90029-8 Grossman, 1992, The informational role of upstairs and downstairs trading, Journal of Business, 65, 509, 10.1086/296583 Huang, 2009, Marketability, control, and the pricing of block shares, Journal of Banking & Finance, 33, 88, 10.1016/j.jbankfin.2007.04.032 Karolyi, 2009, A (partial) resolution of the Chinese discount puzzle: the 2001 deregulation of the B-share market, Journal of Financial Economic Policy, 1, 80, 10.1108/17576380910962394 Keim, 1996, The upstairs market for large-block transactions: analysis and measurement of price effects, Review of Financial Studies, 9, 1, 10.1093/rfs/9.1.1 Kraus, 1972, Price impacts of block trading on the New York Stock Exchange, Journal of Finance, 27, 569, 10.2307/2978262 Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210 Lee, 1991, Inferring trade direction from intraday data, Journal of Finance, 46, 733, 10.2307/2328845 Li, 2011, Privatization and risk sharing: evidence from the split share structure reform in China, Review of Financial Studies, 24, 2499, 10.1093/rfs/hhr025 Madhavan, 1997, In search of liquidity: block trades in the upstairs and downstairs markets, Review of Financial Studies, 10, 175, 10.1093/rfs/10.1.175 Mikkelson, 1985, Stock price effects and costs of secondary distributions, Journal of Financial Economics, 14, 165, 10.1016/0304-405X(85)90013-3 Saar, 2001, Price impact asymmetry of block trades: an institutional trading explanation, Review of Financial Studies, 14, 1153, 10.1093/rfs/14.4.1153 Scholes, 1972, The market for securities: substitution versus price pressure and the effects of information on share prices, Journal of Business, 45, 179, 10.1086/295444 Seppi, 1990, Equilibrium block trading and asymmetric information, Journal of Finance, 45, 73, 10.2307/2328810