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The Cost of Institutional Equity Trades

Citations

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Cited by:

  1. Robert Pollin & James Heintz, 2003. "Evaluation of a Proposal to Reinstate the New York Stock Transfer Tax," Research Reports rr7, Political Economy Research Institute, University of Massachusetts at Amherst.
  2. Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 2019.
  3. C. V. Helliar & R. Michaelson & D. M. Power & C. D. Sinclair, 2000. "Using a portfolio management game (Finesse) to teach finance," Accounting Education, Taylor & Francis Journals, vol. 9(1), pages 37-51.
  4. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
  5. 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.
  6. James Heintz & Robert Pollin, 2003. "Confronting the New York Fiscal Crisis: Raising Revenue Through Taxing Stock Market Transactions," Research Briefs rb2003-4, Political Economy Research Institute, University of Massachusetts at Amherst.
  7. Hoechle, Daniel & Schmid, Markus & Zimmermann, Heinz, 2012. "Decomposing Performance," Working Papers on Finance 1216, University of St. Gallen, School of Finance, revised Nov 2015.
  8. Chen Su & Hanxiong Zhang & Nathan Lael Joseph, 2022. "The performance of UK stock recommendation revisions: Does brokerage house reputation matter?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3051-3070, July.
  9. Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 247-262, June.
  10. Hellström, Jörgen & Simonsen, Ola, 2006. "Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?," Umeå Economic Studies 687, Umeå University, Department of Economics.
  11. Jacob A. Bikker & Laura Spierdijk & Roy P. M. M. Hoevenaars & Pieter Jelle Van der Sluis, 2008. "Forecasting market impact costs and identifying expensive trades," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 21-39.
  12. Seung-Hyun Moon & Yourim Yoon, 2022. "Genetic Mean Reversion Strategy for Online Portfolio Selection with Transaction Costs," Mathematics, MDPI, vol. 10(7), pages 1-20, March.
  13. Jacob A. Bikker & Laura Spierdijk & Roy P. M. M. Hoevenaars & Pieter Jelle Van der Sluis, 2008. "Forecasting market impact costs and identifying expensive trades," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 21-39.
  14. Ryosuke Ishii, 2009. "Optimal Execution in an Evolutionary Setting," KIER Working Papers 670, Kyoto University, Institute of Economic Research.
  15. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
  16. Robert Pollin & Dean Baker & Marc Schaberg, 2003. "Securities Transaction Taxes for U.S. Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 29(4), pages 527-558, Fall.
  17. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
  18. Walch, Florian & Lennkh, Rudolf Alvise, 2015. "Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral," Working Paper Series 1793, European Central Bank.
  19. Markus Leippold & Roger Rueegg, 2018. "The mixed vs the integrated approach to style investing: Much ado about nothing?," European Financial Management, European Financial Management Association, vol. 24(5), pages 829-855, November.
  20. Bauer, Rob & Cosemans, Mathijs & Eichholtz, Piet, 2009. "Option trading and individual investor performance," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 731-746, April.
  21. Robert Battalio & Robert Jennings & Jamie Selway, 2001. "The Relationship Among Market-Making Revenue, Payment for Order Flow, and Trading Costs for Market Orders," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(1), pages 39-56, February.
  22. 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.
  23. Rudolf Alvise Lennkh & Florian Walch, 2015. "Collateral Damage? Micro-Simulation of Transaction Cost Shocks on the Value of Central Bank Collateral," Working Papers 6, European Stability Mechanism.
  24. Jean–Sébastien Michel, 2014. "Return on Recent VC Investment and Long–Run IPO Returns," Entrepreneurship Theory and Practice, , vol. 38(3), pages 527-549, May.
  25. Gomes, Francisco J., 2007. "Exploiting short-run predictability," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1427-1440, May.
  26. Malmendier, Ulrike & Shanthikumar, Devin, 2007. "Are small investors naive about incentives?," Journal of Financial Economics, Elsevier, vol. 85(2), pages 457-489, August.
  27. Lesmond, David A. & Schill, Michael J. & Zhou, Chunsheng, 2004. "The illusory nature of momentum profits," Journal of Financial Economics, Elsevier, vol. 71(2), pages 349-380, February.
  28. Chen Su, 2021. "A comprehensive investigation into style momentum strategies in China," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(1), pages 101-144, March.
  29. Naes, Randi & Odegaard, Bernt Arne, 2006. "Equity trading by institutional investors: To cross or not to cross?," Journal of Financial Markets, Elsevier, vol. 9(2), pages 79-99, May.
  30. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2016. "Scale economies in pension fund investments: A dissection of investment costs across asset classes," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 147-171.
  31. Mario Anolli & Giovanni Petrella, 2008. "Qualità della negoziazione e tutela dell'investitore," Rivista di Politica Economica, SIPI Spa, vol. 98(1), pages 295-353, January-F.
  32. Nikolay A. Andreev, 2014. "On Linearity Of Transaction Costs In Order Driven Market," HSE Working papers WP BRP 38/FE/2014, National Research University Higher School of Economics.
  33. Beaver, William & McNichols, Maureen & Price, Richard, 2016. "The costs and benefits of long-short investing: A perspective on the market efficiency literature," Journal of Accounting Literature, Elsevier, vol. 37(C), pages 1-18.
  34. Mikhail, Michael B. & Walther, Beverly R. & Willis, Richard H., 2004. "Do security analysts exhibit persistent differences in stock picking ability?," Journal of Financial Economics, Elsevier, vol. 74(1), pages 67-91, October.
  35. Chanaka Edirisinghe & Jaehwan Jeong, 2022. "Mean–Variance Portfolio Efficiency under Leverage Aversion and Trading Impact," JRFM, MDPI, vol. 15(3), pages 1-16, February.
  36. P. B. Lerner, 2020. "Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010," Papers 2004.06200, arXiv.org, revised May 2020.
  37. Anolli, Mario & Del Giudice, Alfonso, 2008. "Italian Open End Mutual Fund Costs," MPRA Paper 8111, University Library of Munich, Germany.
  38. Li, Xi, 2005. "The persistence of relative performance in stock recommendations of sell-side financial analysts," Journal of Accounting and Economics, Elsevier, vol. 40(1-3), pages 129-152, December.
  39. Jacob A. Bikker & Laura Spierdijk & Pieter Jelle van der Sluis, 2005. "Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs," DNB Working Papers 069, Netherlands Central Bank, Research Department.
  40. He, William Peng & Lepone, Andrew, 2014. "Determinants of liquidity and execution probability in exchange operated dark pool: Evidence from the Australian Securities Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 1-16.
  41. Seung-Hyun Moon & Yong-Hyuk Kim & Byung-Ro Moon, 2019. "Empirical investigation of state-of-the-art mean reversion strategies for equity markets," Papers 1909.04327, arXiv.org.
  42. Lajbcygier, Paul & Sojka, Jeremy, 2015. "The viability of alternative indexation when including all costs," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 109-141.
  43. Melissa Porras Prado & Pedro A. C. Saffi & Jason Sturgess, 2016. "Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets," The Review of Financial Studies, Society for Financial Studies, vol. 29(12), pages 3211-3244.
  44. repec:oup:revfin:v:29:y:2016:i:12:p:3211-3244. is not listed on IDEAS
  45. Peter B. Lerner, 2022. "Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010," Mathematics, MDPI, vol. 10(14), pages 1-25, July.
  46. Frino, Alex & Gallagher, David R. & Oetomo, Teddy N., 2006. "Further analysis of the liquidity and information components of institutional orders: Active versus passive funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 439-452, November.
  47. Chen Su & Hanxiong Zhang & Kenbata Bangassa & Nathan Lael Joseph, 2019. "On the investment value of sell-side analyst recommendation revisions in the UK," Review of Quantitative Finance and Accounting, Springer, vol. 53(1), pages 257-293, July.
  48. Caginalp, Carey & Caginalp, Gunduz, 2020. "Derivation of non-classical stochastic price dynamics equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  49. Hoechle, Daniel & Zimmermann, Heinz, 2007. "A Generalization of the Calendar Time Portfolio Approach and the Performance of Private Investors," Working papers 2007/14, Faculty of Business and Economics - University of Basel.
  50. Griffiths, Mark D. & Smith, Brian F. & Turnbull, D. Alasdair S. & White, Robert W., 2000. "The costs and determinants of order aggressiveness," Journal of Financial Economics, Elsevier, vol. 56(1), pages 65-88, April.
  51. Broeders, Dirk W.G.A. & van Oord, Arco & Rijsbergen, David R., 2019. "Does it pay to pay performance fees? Empirical evidence from Dutch pension funds," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 299-312.
  52. Carey Caginalp & Gunduz Caginalp, 2019. "Derivation of non-classical stochastic price dynamics equations," Papers 1908.01103, arXiv.org, revised Aug 2020.
  53. Fong, Kingsley Y.L. & Gallagher, David R. & Lau, Sarah S.W. & Swan, Peter L., 2009. "Do active fund managers care about capital gains tax efficiency?," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 257-270, April.
  54. Qin Lei & Murli Rajan & Xuewu Wang, 2012. "An empirical analysis of corporate insiders' trading performance," China Finance Review International, Emerald Group Publishing Limited, vol. 2(3), pages 246-264, June.
  55. Bikker, Jacob A. & Spierdijk, Laura & van der Sluis, Pieter Jelle, 2007. "Market impact costs of institutional equity trades," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 974-1000, October.
  56. Kalay, Avner & Sade, Orly & Wohl, Avi, 2004. "Measuring stock illiquidity: An investigation of the demand and supply schedules at the TASE," Journal of Financial Economics, Elsevier, vol. 74(3), pages 461-486, December.
  57. Battalio, Robert & Hatch, Brian & Jennings, Robert, 2003. "All else equal?: a multidimensional analysis of retail, market order execution quality," Journal of Financial Markets, Elsevier, vol. 6(2), pages 143-162, April.
  58. Daniel Hoechle, 2007. "Robust standard errors for panel regressions with cross-sectional dependence," Stata Journal, StataCorp LP, vol. 7(3), pages 281-312, September.
  59. Kobana Abukari & Isaac Otchere, 2020. "Has stock exchange demutualization improved market quality? International evidence," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 901-934, October.
  60. 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.
  61. Wei Cui & Anthony Brabazon & Michael O'Neill, 2011. "Dynamic trade execution: a grammatical evolution approach," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 4-31.
  62. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
  63. Sagade, Satchit & Scharnowski, Stefan & Westheide, Christian, 2022. "Broker colocation and the execution costs of customer and proprietary orders," SAFE Working Paper Series 366, Leibniz Institute for Financial Research SAFE.
  64. Jenwittayaroje, Nattawut & Charoenwong, Charlie & Ding, David K. & Yang, Yung Chiang, 2015. "Trading costs on the Stock Exchange of Thailand," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 31-40.
  65. Randi Næs, 2004. "Ownership Structure and Stock Market Liquidity," Working Paper 2004/6, Norges Bank.
  66. Cullen, Grant & Gasbarro, Dominic & Monroe, Gary S., 2010. "Mutual fund trades and the value of contradictory private information," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 378-387, February.
  67. Scott Brown & Timothy Koch & Eric Powers, 2009. "Slippage And The Choice Of Market Or Limit Orders In Futures Trading," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 309-335, September.
  68. Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers & Stefan Kanne, 2012. "To buy or not to buy? The value of contradictory analyst signals," Cologne Graduate School Working Paper Series 03-03, Cologne Graduate School in Management, Economics and Social Sciences.
  69. Park, Sung Jun & Park, Ki Young, 2019. "Can investors profit from security analyst recommendations?: New evidence on the value of consensus recommendations," Finance Research Letters, Elsevier, vol. 30(C), pages 403-413.
  70. Stefan Kanne & Jan Klobucnik & Daniel Kreutzmann & Soenke Sievers, 2012. "To buy or not to buy? The value of contradictory analyst signals," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 405-428, December.
  71. Durand, Robert B. & Limkriangkrai, Manapon & Fung, Lucia, 2014. "The behavioral basis of sell-side analysts’ herding," Journal of Contemporary Accounting and Economics, Elsevier, vol. 10(3), pages 176-190.
  72. James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1075-1085.
  73. Felix J. Lopez-Iturriaga & Domingo Javier Santana-Martin, 2015. "Do Shareholder Coalitions Modify Dominant Owner's Control? The Impact On Dividend Policy," HSE Working papers WP BRP 41/FE/2015, National Research University Higher School of Economics.
  74. Jeffrey Ng & Tjomme O. Rusticus & Rodrigo S. Verdi, 2008. "Implications of Transaction Costs for the Post–Earnings Announcement Drift," Journal of Accounting Research, Wiley Blackwell, vol. 46(3), pages 661-696, June.
  75. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  76. Zhao, Xinge, 2004. "Why are some mutual funds closed to new investors?," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1867-1887, August.
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