Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs

• 成果类型: Article
• 署名作者: Anand, Amber; Irvine, Paul; Puckett, Andy; Venkataraman, Kumar
• 署名单位: Southern Methodist University; Syracuse University; University System of Georgia; University of Georgia; University of Tennessee System; University of Tennessee Knoxville
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr110
• 发表日期: 2012
• 页码: 557
• 关键词: MUTUAL FUND PERFORMANCE; transactions costs; execution costs; investors; disclosure; QUALITY; trades; style

摘要

Using a proprietary dataset of institutional investors' equity transactions, we document that institutional trading desks can sustain relative performance over adjacent periods. We find that trading-desk skill is positively correlated with the performance of the institution's traded portfolio, suggesting that institutions that invest resources in developing execution abilities also invest in generating superior investment ideas. Although some brokers can deliver better executions consistently over time, our analysis suggests that trading-desk skill is not limited to a selection of better brokers. We conclude that the trade implementation process is economically important and can contribute to relative portfolio performance. (JEL G12, G23, G24)