Institutional trading and soft dollars

• 成果类型: Article
• 署名作者: Conrad, JS; Johnson, KM; Wahal, S
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; Emory University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00331
• 发表日期: 2001
• 页码: 397-416
• 关键词: behavior; trades; transactions; COSTS

摘要

Proprietary data allow us to distinguish between institutional investors' orders directed to soft-dollar brokers and those directed to other types of brokers. We find that soft-dollar brokers execute smaller orders in larger market Value stocks. Allowing for differences in order characteristics, we estimate the incremental implicit cost of soft-dollar execution at 29 (24) basis points for buyer- (seller-) initiated orders. Far large orders, incremental implicit costs are 41 (30) basis points for buys (sells). However, we document substantial variability in these estimates, and research services provided by soft-dollar brokers may at least partially offset these costs.