Schlägt sich die Prinzipal-Agent-Beziehung zwischen Anlageinstitution und Bank in überhöhten Transaktionskosten nieder?

Hartmut Schmidt and Michael Schleef
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Hartmut Schmidt: Universität Hamburg
Michael Schleef: Universität Hamburg

Schmalenbach Journal of Business Research, 2001, vol. 53, issue 7, 663-689

Abstract: Summary Discretionary orders to buy or sell stocks constitute a principal-agent relationship. Consequently, a residual loss is expected evidenced by abnormal transaction costs associated with the execution of these orders. To test this hypothesis, a series of trading strategies is defined to simulate the execution of 335 institutional orders for which execution data were obtained. The actual execution prices of these orders are confronted with simulated execution prices based on the trading strategies and on pertinent stock exchange quote, price and volume data. The hypothesis is rejected for most trading strategies. If their rather extensive data requirements can be met, the methods designed for this study are readily applicable for the monitoring of institutional transactions.

Keywords: D23; G21; G23; G24; K22; L14 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1007/BF03372663

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