Source:Dann, Mayers, and Rabb (1977).
Studiesthatlook atsmaller, lessliquidstocksfindthatthe
priceimpacttendstobelargerandtheadjustmentbacktothe
correct price is slower than it is for the more liquid stocks.
15 Thereareotherinterestingfactsaboutblocktradesthat
haveemergedfromotherstudies.First,whilestockpricesgo
uponblockbuysandgodownonblocksells,theyarefar
morelikelytobouncebackafterselltrades.Inotherwords,
whenpricesgoupafterablockbuy,theyaremorelikelyto
stay up.
16 AstudybySpierdijk,Nijman,andvanSoest(2002)that
lookedatboth liquidand illiquidstocksontheNYSEalso
finds a tendency on the part of markets to overshoot.
17 Whenablockbuyismade,thepriceseemstogouptoo
muchanditcantakeseveraldaysforittorevertbacktoa
normal level for illiquid stocks.