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

Article Abstract:

The magnitude and determinants of transactions costs for a sample of institutional traders with various investment styles are analyzed employing order-level data for the latest equity negotiations amounting to $83 bil. Results revealed that trading rates are economically vital and increase with trade difficulty. Costs are influenced by trader-specific factors, including investment style, order submission techniques and stock-specific factors. Institutional trades in exchange-listed stocks are found to have lower costs than Nasdaq stocks.

Investment Funds & Trusts, HOLDING AND OTHER INVESTMENT OFFICES, Models, Investments, Economic research

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An analysis of mutual fund design: the case of investing in small-cap stocks

Article Abstract:

Dimensional Fund Advisors' '9-10 Fund' posted a 2.2% premium over the 9-10 Index between 1982 and 1995, largely as the result of its investment rules and trade strategy. The mutual fund is based on the CRSP 9-10 Index, an index of small-cap stocks comprising the ninth and tenth deciles of the New York Stock Exchange market capitalization. To keep in check the possibly excessive costs associated with such an illiquid basis, the fund has adopted investment rules and trading strategy that contributed to the abovementioned return difference.

Investment Offices, Investment Companies, Services, Design and construction, Index funds, Mutual funds, Mutual fund industry, Dimensional Fund Advisors Inc.

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Anatomy of the trading process: empirical evidence on the behavior of institutional traders

Article Abstract:

The investment styles of institutional traders at 21 different institutions are examined.

United States, Securities Dealers, Investment Banking and Securities Dealing, Security brokers and dealers, Statistical Data Included, Methods, Statistics, Securities industry, Institutional investments

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