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Equity trading by institutional investors: To cross or not to cross?

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  • Naes, Randi
  • Odegaard, Bernt Arne

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 9 (2006)
Issue (Month): 2 (May)
Pages: 79-99

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Handle: RePEc:eee:finmar:v:9:y:2006:i:2:p:79-99

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Web page: http://www.elsevier.com/locate/finmar

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References

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  1. Keim, Donald B. & Madhavan, Ananth, 1997. "Transactions costs and investment style: an inter-exchange analysis of institutional equity trades," Journal of Financial Economics, Elsevier, Elsevier, vol. 46(3), pages 265-292, December.
  2. Cohen, Kalman J, et al, 1981. "Transaction Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 89(2), pages 287-305, April.
  3. Jones, C.M. & Lipson, M.L., 1999. "Execution Costs of Institutional Equity Orders," Papers 99-1, Columbia - Graduate School of Business.
  4. Chan, Louis K C & Lakonishok, Josef, 1995. " The Behavior of Stock Prices around Institutional Trades," Journal of Finance, American Finance Association, vol. 50(4), pages 1147-74, September.
  5. Jones, Charles M. & Lipson, Marc L., 1999. "Execution Costs of Institutional Equity Orders," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 8(3), pages 123-140, July.
  6. Donald B. Keim & Ananth Madhavan, . "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 8-98, Wharton School Rodney L. White Center for Financial Research.
  7. Jennifer S. Conrad, 2001. "Institutional Trading and Soft Dollars," Journal of Finance, American Finance Association, vol. 56(1), pages 397-416, 02.
  8. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2004. "Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications," IDEI Working Papers 253, Institut d'Économie Industrielle (IDEI), Toulouse.
  9. Jonathan Lewellen, 2002. "Momentum and Autocorrelation in Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 533-564, March.
  10. Seppi, Duane J, 1990. " Equilibrium Block Trading and Asymmetric Information," Journal of Finance, American Finance Association, vol. 45(1), pages 73-94, March.
  11. Joseph Chen & Harrison Hong, 2002. "Discussion of "Momentum and Autocorrelation in Stock Returns"," Review of Financial Studies, Society for Financial Studies, vol. 15(2), pages 565-574, March.
  12. Terrence Hendershott & Haim Mendelson, 2000. "Crossing Networks and Dealer Markets: Competition and Performance," Journal of Finance, American Finance Association, vol. 55(5), pages 2071-2115, October.
  13. Naes, Randi & Skjeltorp, Johannes A., 2003. "Equity trading by institutional investors: Evidence on order submission strategies," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1779-1817, September.
  14. Conrad, Jennifer & Johnson, Kevin M. & Wahal, Sunil, 2003. "Institutional trading and alternative trading systems," Journal of Financial Economics, Elsevier, Elsevier, vol. 70(1), pages 99-134, October.
  15. John M. Griffin & Jeffrey H. Harris & Selim Topaloglu, 2003. "The Dynamics of Institutional and Individual Trading," Journal of Finance, American Finance Association, vol. 58(6), pages 2285-2320, December.
  16. Mendelson, Haim, 1987. "Consolidation, Fragmentation, and Market Performance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(02), pages 189-207, June.
  17. repec:fth:pennfi:68 is not listed on IDEAS
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Citations

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Cited by:
  1. Hans Degryse & Mark Van Achter & Gunther Wuyts, 2007. "Dynamic order submission strategies with competition between a dealer market and a crossing network," Working Paper Research, National Bank of Belgium 121, National Bank of Belgium.
  2. Ødegaard, Bernt Arne, 2009. "The (implicit) cost of equity trading at the Oslo Stock Exchange. What does the data tell us?," UiS Working Papers in Economics and Finance 2009/17, University of Stavanger.
  3. Sabrina Buti & Barbara Rindi & Ingrid M. Werner, 2011. "Dark Pool Trading Strategies," Working Papers 421, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. Dejan Eric & Ivan Stosic, 2012. "Development of European Financial System: Challenges for the Balkan Countries Integration Process," Book Chapters, Institute of Economic Sciences.
  5. Nimalendran, Mahendrarajah & Ray, Sugata, 2014. "Informational linkages between dark and lit trading venues," Journal of Financial Markets, Elsevier, Elsevier, vol. 17(C), pages 230-261.
  6. Conrad, Jennifer & Johnson, Kevin M. & Wahal, Sunil, 2003. "Institutional trading and alternative trading systems," Journal of Financial Economics, Elsevier, Elsevier, vol. 70(1), pages 99-134, October.
  7. Gomber, Peter & Sagade, Satchit & Theissen, Erik & Weber, Moritz Christian & Westheide, Christian, 2013. "Competition/fragmentation in equities markets: A literature survey," SAFE Working Paper Series 35, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.

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