Institutional Trading Frictions

• المؤلفون الرئيسيون: CHIYACHANTANA, Chiraphol New, JAIN, Pankaj K.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2009
• الموضوعات: Institutional trading; implementation shortfall; adverse selection; clean-up costs; price impact; transaction costs; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3048; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4047/viewcontent/NewC_InstTradFrictions.pdf
• المؤسسة: Singapore Management University

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...