Institutional Trading Frictions

• 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
• Institution: 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...