Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 8, 2007 erstellt
Beschreibung:
Portfolio transitions are sizable transfers of funds executed on behalf of institutional sponsors during changes of their investment strategies or funds management. Using a unique data set of portfolio transition trades, I study the evolution of security prices in response to these transactions. I document significant price pressure effects of about 40 bps induced by transition trades in the short run. I also find that price responses to purchases and sales are asymmetric in the long run. Transition purchases permanently shift stock prices to higher levels; these price changes are more significant after large trades, trades in stocks with high degrees of information asymmetry and with recently downward price dynamics. At the same time, price pressure effects of transition sales are temporary and stock prices reverse to pre-transition levels in the following weeks. These findings are consistent with information hypothesis, as the underlying motives behind transition purchases and sales are different: on average, the former are induced by information-related motives whereas the latter are triggered by liquidity-related factors