Please include links or at least keywords to research papers if possible.

This is basically an investigation into max pain / stock pinning and what it would take for a hedge fund to cause it.

Some inputs

  • market capitalization
  • Institutional versus retail ownership
  • Transparency of business model
  • Implied volatility, Strike, time to expiry
  • availability of shares to short

The reason I ask is the behavior of HTZ this week seemed peculiar and the PUT options were priced very high.

I do understand that this is a boogey man with options and I'm not looking for answers to pinning/max pain manipulation, but rather just the simple question of what is required to influence a stock price and if there has been any studies done on this.


Actually the recent work by Koijen and Gabaix tries to tackle precisely a similar question.

They do not have a paper yet. Here's the link: https://www.youtube.com/watch?v=apCxV8zxoOc

They find that buying 1% of the market increases prices by 5-12%. I.e. markets are inelastic. So if this is true for the market, I am assuming for individual stocks would be even worse.

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  • $\begingroup$ Are there other studies on buying a different proportion. Like, say if I buy 2% of the market how much will I increase the stock price by? $\endgroup$ Jun 18 '20 at 10:32

I tried to answer a similar question recently here: How can we estimate new stock price after a large purchase?

Whilst it might not be exactly what you might be looking for, it might help you understand the problem in a practical context.


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