The Implementation Shortfall of Institutional Equity Trades

Jacob Bikker (), Laura Spierdijk and Pieter Jelle van der Sluis ()

No 9, Serie Research Memoranda from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics

Abstract: This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are nonðnegligible: 20 basis points for buys and 26 basis points for sells. Furðthermore, we show that (relative) trade size and market capitalization, commonly found to play an important role, have only limited influðence on the price impact of a trade. The most important determinants of the price effect are investment style, trade type (agency, single, or principal), momentum, stock price volatility, and trading venue.

Keywords: Implementation shortfall; Institutional equity trading; Pension funds; Transaction costs (search for similar items in EconPapers)
JEL-codes: E32 G14 G23 G28 (search for similar items in EconPapers)
Date: 2004

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Persistent link: http://EconPapers.repec.org/RePEc:dgr:vuarem:2004-9

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