IDEAS home Printed from https://ideas.repec.org/p/fth/pennfi/9-95.html
   My bibliography  Save this paper

Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94)

Author

Listed:
  • Donald B. Keim
  • Ananth Madhavan

Abstract

This paper examines the execution costs and investment performance of $83 billion of recent equity transactions by 21 institutional traders. These traders are of particular interest because we have detailed information on the order submission strategy adopted by traders with different investment styles. We analyze the major components of execution costs, including explicit and implicit costs. Execution costs are substantial relative to investment performance and are positively related to measures of trade difficulty. Trading systems differ in their ability to accommodate large trades; orders in exchange-listed stocks generally have a lower price impact than in comparable NASDAQ stocks. There is substantial variation in trading costs and performance across institutions, reflecting differences in trading ability and style. The results provide a way to assess various trading strategies and to form benchmarks to evaluate portfolio managers.

Suggested Citation

  • Donald B. Keim & Ananth Madhavan, "undated". "Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades (Revision of 26-94)," Rodney L. White Center for Financial Research Working Papers 9-95, Wharton School Rodney L. White Center for Financial Research.
  • Handle: RePEc:fth:pennfi:9-95
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Huang, Roger D. & Stoll, Hans R., 1996. "Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE," Journal of Financial Economics, Elsevier, vol. 41(3), pages 313-357, July.
    2. Phillip Monin, 2014. "Hedging Market Risk in Optimal Liquidation," Working Papers 14-08, Office of Financial Research, US Department of the Treasury.
    3. Macey, Jonathan R. & O'Hara, Maureen, 1997. "The Law and Economics of Best Execution," Journal of Financial Intermediation, Elsevier, vol. 6(3), pages 188-223, July.
    4. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
    5. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2004. "Asset Prices and Trading Volume under Fixed Transactions Costs," Journal of Political Economy, University of Chicago Press, vol. 112(5), pages 1054-1090, October.
    6. repec:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500248 is not listed on IDEAS
    7. Thapa, Chandra & Poshakwale, Sunil S., 2010. "International equity portfolio allocations and transaction costs," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2627-2638, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fth:pennfi:9-95. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel). General contact details of provider: http://edirc.repec.org/data/rwupaus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.