文章基本信息

标题：Market Impact Costs of Institutional Equity Trades
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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：2004
卷号：1
出版社：De Nederlandsche Bank
摘要：This paper is the first to analyze market impact and execution costs of equity trading by a pension fund. We find that, on average, these costs are nonnegligible. Average market impact costs equal 20 basis points for buys and 30 basis points for sells; average execution costs equal 27 basis points and 38 basis points, respectively. Furthermore, we show that relative trade size and market capitalization, commonly found to play an important role, have only limited influence on the market impact of a trade. The most important determinants of the price effect are momentum, stock price volatility, investment style, trade type (agency, single, or principal), and trading venue.
关键词：market impact costs, trading costs, price effects, institutional equity trading, pension funds JEL-classification: E32, G14, G23, G28