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The Implementation Shortfall of Institutional Equity Trades

Author

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  • 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 non­negligible: 20 basis points for buys and 26 basis points for sells. Fur­thermore, we show that (relative) trade size and market capitalization, commonly found to play an important role, have only limited influ­ence 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.

Suggested Citation

  • Bikker, Jacob A. & Spierdijk, Laura & Sluis, Pieter Jelle van der, 2004. "The Implementation Shortfall of Institutional Equity Trades," Serie Research Memoranda 0009, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    • Handle: RePEc:vua:wpaper:2004-9
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    File URL: http://degree.ubvu.vu.nl/repec/vua/wpaper/pdf/20040009.pdf
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    Citations

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    Cited by:

    1. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4, July-Dece.
    2. Murphy Jun Jie Lee, 2013. "The Microstructure of Trading Processes on the Singapore Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2013.

    More about this item

    Keywords

    Implementation shortfall; Institutional equity trading; Pension funds; Transaction costs;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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