Dr. Jain and Mr. Sharma recently accepted for publication in the Journal of Financial Markets

For release:  February 9, 2018

Dr. Pankaj K. Jain, interim chair of the Department of Finance, Insurance, and Real Estate and Mr. Vivek Sharma, instructor and manager of The Cook Analytics and Trading Lab, recently coauthored a paper with Dr. Christine Jiang, former FCBE professor of Finance. Their paper was published as the lead article in the Journal of Financial Markets, the leading publication outlet for market microstructure academic research. The paper, entitled "Permanent Price Impact Asymmetry of Trades with Institutional Constraints," was also presented at the Financial Management Association annual meeting, the Federal Reserve Bank of Chicago, and several Universities across the nation.

Dynamic institutional trading constraints related to capital, diversification, and short-selling asymmetrically affect the incorporation of new information as reflected in the permanent price impact of their trades. The sign of the permanent price impact asymmetry between institutional buys versus sells is positive at the initial stage of a price run-up and reverses due to changing constraints with a prolonged price run-up in a stock. Idiosyncratic volatility, analyst forecast dispersion, trading intensity, price dispersion and bullish market conditions further sharpen the initial asymmetry, as well as its reversal after price run-up.

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