Transaction costs and institutional trading in small-cap equity funds

Carole Comerton-Forde, David Gallagher, Jumana Nahhas and Terry Walter ()
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Carole Comerton-Forde: Faculty of Economics and Business, The University of Sydney, Australia, carole.comerton-forde@sydney.edu.au
Jumana Nahhas: Faculty of Economics and Business, The University of Sydney, Australia

Australian Journal of Management, 2010, vol. 35, issue 3, 313-327

Abstract: This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.99% (—0.34%) for purchases (sales). This is considerably larger than costs reported in prior literature. Both purchases and sales exhibit price continuations after the trade package, consistent with an information effect. Although we do not observe the directional asymmetry typically shown in the literature, the magnitude of the total and permanent effects for purchases is larger than for sales. We also show that price impact is related to fund inflows and outflows.

Keywords: price impact; small-cap funds; transaction costs (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:35:y:2010:i:3:p:313-327

DOI: 10.1177/0312896210385284

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