TY  - UNPD
A1  - Cebiroglu, Gökhan
A1  - Hautsch, Nikolaus
A1  - Walsh, Christopher
T1  - Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 625
N2  - Large trades have a smaller price impact per share than medium-sized trades. So far, the literature has attributed this effect to the informational content of trades. In this paper, we show that this effect can arise from strategic order placement. We introduce the concept of a liquidity elasticity, measuring the responsiveness of liquidity demand with respect to changes in liquidity supply, as a major driver for a declining price impact per share. Empirical evidence based on Nasdaq stocks strongly supports theoretical predictions and shows that the aspect of liquidity coordination is an important complement to rationales based on asymmetric information.
T3  - CFS working paper series - 625 
KW  - stealth trading
KW  - price impact
KW  - liquidity elasticity
KW  - limit order book
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/50990
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-509904
UR  - https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3446394
IS  - July 18, 2019
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -