Transactions costs and investment style: An inter-exchange analysis of institutional equity trades

• 成果类型: Article
• 署名作者: Keim, DB; Madhavan, A
• 署名单位: University of Pennsylvania; University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)00031-7
• 发表日期: 1997
• 页码: 265-292
• 关键词: exchange listing; institutional investor; investment style; microstructure; transactions costs

摘要

This paper examines the magnitude and determinants of transactions costs for a sample of institutional traders with different investment styles. Using order-level data for recent equity transactions totaling $83 billion, we find that trading costs are economically significant and increase with trade difficulty. In addition, costs vary with trader-specific factors such as investment style and order submission strategy, as well as stock-specific factors such as exchange listing. We find evidence that institutional trades in exchange-listed stocks have lower costs than in comparable Nasdaq stocks.