Tick size and institutional trading costs: Evidence from mutual funds

Journal of Financial and Quantitative Analysis

Volumn 41, Issue 4, 2006, Pages 915-937

  Bollen, Nicolas P B ^a   Busse, Jeffrey A ^b  

^a VANDERBILT UNIVERSITY   (United States)

^b EMORY UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33846126225     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0022109000002696     Document Type: Article

References (41)

1. Ahn, H.; C. Cao; and H. Choe. "Decimalization and Competition among Exchanges: Evidence from the Toronto Stock Exchange Cross-Listed Securities." Journal of Financial Markets, 1 (1998), 51-87.
2. Angel, J. "Tick Size, Share Prices, and Stock Splits." Journal of Finance, 52 (1997), 655-681.
3. Anshuman, R., and A. Kalay. "Market Making with Discrete Prices." Review of Financial Studies, 11 (1998), 81-109.
4. Bacidore, J. "The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange." Journal of Financial Intermediation, 6 (1997), 92-120.
5. Bacidore, J.; R. Battalio; and R. Jennings. "Order Submission Strategies, Liquidity Supply, and Trading in Pennies on the New York Stock Exchange." Journal of Financial Markets, 6 (2003), 337-362.
6. Barber, B., and T. Odean. "Online Investors: Do the Slow Die First?" Review of Financial Studies, 15 (2002), 455-487.
7. Beneish, M., and R. Whaley. "S&P 500 Index Replacements: A New Game in Town." Journal of Portfolio Management, 29 (2002), 1-10.
8. Bessembinder, H. "Trade Execution Costs and Market Quality after Decimalization." Journal of Financial and Quantitative Analysis, 38 (2003), 747-777.
9. Blake, C.; E. Elton; and M. Gruber. "The Performance of Bond Mutual Funds." Journal of Business, 66 (1993), 371-403.
10. Bollen, N., and J. Busse. "Short-Term Persistence in Mutual Fund Performance." Review of Financial Studies, 18 (2005), 569-597.
11. Bollen, N., and R. Whaley. "Are 'Teenies' Better?" Journal of Portfolio Management, 24 (1998), 10-24.
12. Brown, K.; W. Harlow; and L. Starks. "Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry." Journal of Finance, 51 (1996), 85-110.
13. Brown, S.; P. Laux; and B. Schacter. "On the Existence of Optimal Tick Size." Review of Futures Markets, 10(1991), 50-72.
14. Carhart, M. "On Persistence in Mutual Fund Performance." Journal of Finance, 52 (1997), 57-82.
15. Carhart, M.; R. Kaniel; D. Musto; and A. Reed. "Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds." Journal of Finance, 57 (2002), 661-693.
16. Chakravarty, S.; V. Panchapagesan; and R. Wood. "Did Decimalization Hurt Institutional Investors?" Working Paper, Purdue University (2004).
17. Chakravarty, S.; R. Wood; and R. Van Ness. "Decimals and Liquidity: A Study of the NYSE." Journal of Financial Research, 27 (2004), 75-94.
18. Chalmers, J.; R. Edelen; and G. Kadlec. "On the Perils of Financial Intermediaries Setting Security Prices: The Mutual Fund Wild Card Option." Journal of Finance, 56 (2001a), 2209-2236.
19. Chalmers, J.; R. Edelen; and G. Kadlec. "Fund Returns and Trading Expenses: Evidence on the Value of Active Fund Management." Working Paper, University of Oregon (2001b).
20. Chan, L., and J. Lakonishok. "The Behavior of Stock Prices around Institutional Trades." Journal of Finance, 50 (1995), 1147-1174.
21. Chiyachantana, C.; P. Jain; C. Jiang; and R. Wood. "International Evidence on Institutional Trading Behavior and Price Impact." Journal of Finance, 59 (2004), 869-898.
22. Fama, E., and K. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), 3-56.
23. Goldstein, M., and K. Kavajecz. "Eighths, Sixteenths, and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE." Journal of Financial Economics, 56 (2000), 125-149.
24. Grinblatt, M., and S. Titman. "Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings." Journal of Business, 62 (1989), 393-415.
25. Grinblatt, M., and S. Titman. "Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns." Journal of Business, 66 (1993), 47-68.
26. Harris, L. "Stock Price Clustering and Discreteness." Review of Financial Studies, 4 (1991), 389-415.
27. Harris, L. "Minimum Price Variations, Discrete Bid-Ask Spreads, and Quotation Sizes." Review of Financial Studies, 1 (1994), 149-178.
28. Investment Company Institute. "2003 Mutual Fund Fact Book." Washington, DC: Investment Company Institute (2003).
29. Jensen, M. "The Performance of Mutual Funds in the Period 1945-1964." Journal of Finance, 23 (1968), 389-416.
30. Jones, C., and M. Lipson, "Sixteenths: Direct Evidence on Institutional Execution Costs." Journal of Financial Economics, 59 (2001), 253-278.
31. Keim, D., and A. Madhavan. "Transactions Costs and Investment Style: An Inter-Exchange Analysis of Institutional Equity Trades." Journal of Financial Economics, 46 (1997), 265-292.
32. Nasdaq Economic Research. "The Impact of Decimalization on the Nasdaq Stock Market: Final Report to the SEC." (June 11, 2001).
33. NYSE Research Division. "Decimalization of Trading on the New York Stock Exchange: A Report to the Securities and Exchange Commission." (September 7, 2001).
34. Porter, D., and D. Weaver. "Decimalization and Market Quality." Financial Management, 26 (1997), 5-26.
35. Ronen, T., and D. Weaver. "Teenies' Anyone?" Journal of Financial Markets, 4 (2001), 231-260.
36. Seppi, D. "Liquidity Provision with Limit Orders and a Strategic Specialist." Review of Financial Studies, 10(1997), 103-150.
37. Stoll, H. "Market Microstructure." In Handbook of the Economics of Finance, G. Constantinides, M. Harris, and R. Stulz, eds. Amsterdam, The Netherlands: North-Holland Publishing (2002).
38. Wermers, R. "Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses." Journal of Finance, 55 (2000), 1655-1695.
39. Wermers, R. "The Potential Effects of More Frequent Portfolio Disclosure on Mutual Fund Performance." Investment Company Perspective, 1 (2001), 1-11.
40. Werner, I. "Execution Quality for Institutional Orders Routed to Nasdaq Dealers before and after Decimals." Working Paper, Ohio State University (2003).
41. Zitzewitz, E. "Who Cares about Shareholders? Arbitrage-Proofing Mutual Funds." Journal of Law, Economics, & Organization, 19 (2003), 245-280.