Institutional Trading Frictions
We propose and empirically examine a comprehensive measure of institutional trading frictions to include the dimensions of price impact, quantity of execution, return dynamics, speed of execution or order splitting, and trading commissions. Our empirical analysis reveals that various hidden componen...
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Institutional Knowledge at Singapore Management University
2013
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sg-smu-ink.lkcsb_research-27952022-01-07T10:56:48Z Institutional Trading Frictions CHIYACHANTANA, Chiraphol New Jain, Pankaj K. We propose and empirically examine a comprehensive measure of institutional trading frictions to include the dimensions of price impact, quantity of execution, return dynamics, speed of execution or order splitting, and trading commissions. Our empirical analysis reveals that various hidden components of institutional trading frictions such as adverse selection and clean-up costs are persistent and could add significantly to previously measured directly observable components of transaction costs. Our simultaneous system of equations accounts for the endogeniety in institutional order aggressiveness based on potentially superior information as well as order splitting strategies in the implementation stage to reduce transaction costs. Order aggressiveness, market conditions and other stock characteristics are associated with significant variations in trading frictions. 2013-11-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/1796 info:doi/10.2139/ssrn.1287215 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2795/viewcontent/SSRN_id1287215.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Institutional trading implementation shortfall adverse selection clean-up costs price impact transaction costs Finance and Financial Management Portfolio and Security Analysis |
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Institutional trading implementation shortfall adverse selection clean-up costs price impact transaction costs Finance and Financial Management Portfolio and Security Analysis |
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Institutional trading implementation shortfall adverse selection clean-up costs price impact transaction costs Finance and Financial Management Portfolio and Security Analysis CHIYACHANTANA, Chiraphol New Jain, Pankaj K. Institutional Trading Frictions |
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We propose and empirically examine a comprehensive measure of institutional trading frictions to include the dimensions of price impact, quantity of execution, return dynamics, speed of execution or order splitting, and trading commissions. Our empirical analysis reveals that various hidden components of institutional trading frictions such as adverse selection and clean-up costs are persistent and could add significantly to previously measured directly observable components of transaction costs. Our simultaneous system of equations accounts for the endogeniety in institutional order aggressiveness based on potentially superior information as well as order splitting strategies in the implementation stage to reduce transaction costs. Order aggressiveness, market conditions and other stock characteristics are associated with significant variations in trading frictions. |
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text |
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CHIYACHANTANA, Chiraphol New Jain, Pankaj K. |
author_facet |
CHIYACHANTANA, Chiraphol New Jain, Pankaj K. |
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CHIYACHANTANA, Chiraphol New |
title |
Institutional Trading Frictions |
title_short |
Institutional Trading Frictions |
title_full |
Institutional Trading Frictions |
title_fullStr |
Institutional Trading Frictions |
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Institutional Trading Frictions |
title_sort |
institutional trading frictions |
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Institutional Knowledge at Singapore Management University |
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2013 |
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https://ink.library.smu.edu.sg/lkcsb_research/1796 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2795/viewcontent/SSRN_id1287215.pdf |
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