英文文献：Portfolio Transitions and Stock Price Dynamics
英文文献作者：Anna Obizhaeva
英文文献摘要：
This paper employs a proprietary data set of portfolio transitions to analyze the short run price-volume relation and its association with the long run performance of newly hired and terminated managers. Unique to our study is its focus on price dynamics that is not affected by potential endogeneity of trading decisions. In the short run, purchases of new stocks induce permanent price increases. Such price changes are especially pronounced for large orders as well as for stocks with a high degree of information asymmetry and negative past returns. In contrast, sales of legacy stocks induce only transitory price declines. In the long run, the evidence shows that institutional sponsors are able to hire managers that are, on average, more skilled than the terminated ones. The apparent benefits of portfolio transitions, however, do not exceed transaction costs.