ABSTRACT
The market reaction to equity block trades is measured with the usage of an event study. On the event day, buyer-initiated equity block trades convey positive information, whereas seller-initiated equity block trades convey negative information. Equilibrium trades do not convey any information to the market. The deviation of an equity block trade price from the closing price on the pre-event day determines the magnitude of a market reaction, whereas the size of an equity block trade does not affect a market reaction.
