Institutional Trading Frictions

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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Bibliographic Details
Main Authors: CHIYACHANTANA, Chiraphol New, JAIN, Pankaj K.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
Institutional trading
implementation shortfall
adverse selection
clean-up costs
price impact
transaction costs
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/3048
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4047/viewcontent/NewC_InstTradFrictions.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/3048
https://ink.library.smu.edu.sg/context/lkcsb_research/article/4047/viewcontent/NewC_InstTradFrictions.pdf

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