文章基本信息

标题：Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs
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作者：Jacob A. Bikker ; Laura Spierdijk en Pieter Jelle van der Sluis
期刊名称：DNB Working Papers / De Nederlandsche Bank
出版年度：2005
卷号：1
出版社：De Nederlandsche Bank
摘要：This paper assesses the determinants of market impact costs of institutional equity trades, using unique data from the world’s second largest pension fund. We allow the impact of trade characteristics and market conditions on trading costs to depend on the level of trading costs itself and establish significant differences in the responses of cheaper and more expensive trades. We explain the distinct responses from differences in information content and demand for liquidity between trades with high and low trading costs. Finally, to illustrate the practical relevance of the approach, we use our method to forecast future trading costs.
关键词：market impact costs, quantile regression, forecasting market impact costs JEL classification: G11, C53.