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Schlägt sich die Prinzipal-Agent-Beziehung zwischen Anlageinstitution und Bank in überhöhten Transaktionskosten nieder?

Author

Listed:
  • Hartmut Schmidt

    (Universität Hamburg)

  • Michael Schleef

    (Universität Hamburg)

Abstract

Summary Discretionary orders to buy or sell stocks constitute a principal-agent relationship. Consequently, a residual loss is expected evidenced by abnormal transaction costs associated with the execution of these orders. To test this hypothesis, a series of trading strategies is defined to simulate the execution of 335 institutional orders for which execution data were obtained. The actual execution prices of these orders are confronted with simulated execution prices based on the trading strategies and on pertinent stock exchange quote, price and volume data. The hypothesis is rejected for most trading strategies. If their rather extensive data requirements can be met, the methods designed for this study are readily applicable for the monitoring of institutional transactions.

Suggested Citation

  • Hartmut Schmidt & Michael Schleef, 2001. "Schlägt sich die Prinzipal-Agent-Beziehung zwischen Anlageinstitution und Bank in überhöhten Transaktionskosten nieder?," Schmalenbach Journal of Business Research, Springer, vol. 53(7), pages 663-689, November.
    • Handle: RePEc:spr:sjobre:v:53:y:2001:i:7:d:10.1007_bf03372663
    DOI: 10.1007/BF03372663
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    References listed on IDEAS

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    More about this item

    Keywords

    D23; G21; G23; G24; K22; L14;
    All these keywords.

    JEL classification:

    • D23 - Microeconomics - - Production and Organizations - - - Organizational Behavior; Transaction Costs; Property Rights
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law
    • L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation

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