USing a transactions database for stocks traded on the Korea Stock Exchange, we find strong evidence supporting the stealth trading hypothesis advanced by Barclay and Warner (1993). Medium-size trades are associated with a disproportionately large cumulative price change relative to their proportion of all trades , share vOlume, and won v이 ume. We also find that the price contribution of medium-size trades increases as the measurement interval increases. This result indicates that medium-size trades contain information on medium- to long-term price trends. Small-size trades contribute to the cumulative stock price change negatively, which is consistent with a common perception that small investors tend to chase very short-term profits. Surprisingly, we find evidence suggesting that large-size trades may