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The Implementation Shortfall of Institutional Equity Trades

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Author Info

  • Bikker, Jacob A.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

  • Spierdijk, Laura
  • Sluis, Pieter Jelle van der

Abstract

This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are nonðnegligible: 20 basis points for buys and 26 basis points for sells. Furðthermore, we show that (relative) trade size and market capitalization, commonly found to play an important role, have only limited influðence on the price impact of a trade. The most important determinants of the price effect are investment style, trade type (agency, single, or principal), momentum, stock price volatility, and trading venue.

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File URL: ftp://zappa.ubvu.vu.nl/20040009.pdf
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Bibliographic Info

Paper provided by VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics in its series Serie Research Memoranda with number 0009.

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Date of creation: 2004
Date of revision:
Handle: RePEc:dgr:vuarem:2004-9

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Web page: http://www.feweb.vu.nl

Related research

Keywords: Implementation shortfall; Institutional equity trading; Pension funds; Transaction costs;

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Cited by:
  1. Richard W. Kopcke & Francis M. Vitagliano & Zhenya S. Karamcheva, 2009. "Fees and Trading Costs of Equity Mutual Funds in 401(k) Plans and Potential Savings from ETFS and Commingled Trusts," Working Papers, Center for Retirement Research at Boston College wp2009-27, Center for Retirement Research, revised Nov 2009.

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