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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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
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| Subjects: | |
| 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 |