Performance of institutional trading desks: An analysis of persistence in trading costs

Review of Financial Studies

Volumn 25, Issue 2, 2012, Pages 557-598

  Anand, Amber ^a   Irvine, Paul ^b   Puckett, Andy ^c   Venkataraman, Kumar ^d  

^a SYRACUSE UNIVERSITY   (United States)

^b UNIVERSITY OF GEORGIA   (United States)

^c UNIVERSITY OF TENNESSEE   (United States)

^d SOUTHERN METHODIST UNIVERSITY   (United States)

Author keywords

G12; G23; G24

Indexed keywords

EID: 84855949228     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhr110     Document Type: Article

References (51)

1. Baks, K. 2006. On the Performance of Mutual Fund Managers. Working Paper, Emory University.
2. Berkowitz, S., D. Logue, and E. Noser. 1988. The Total Cost of Transactions on the NYSE. Journal of Finance 43:97-112.
3. Bessembinder, H. 2003. Trade Costs and Market Quality After Decimalization. Journal of Quantitative and Financial Analysis 38:747-78.
4. Bessembinder, H., M. Panayides, and K. Venkataraman. 2009. Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets. Journal of Financial Economics 94:361-83.
5. Boehmer, E., R. Jennings, and L. Wei. 2007. Public Disclosure and Private Decisions: Equity Market Execution Quality and Order Routing. Review of Financial Studies 20:315-58.
6. Bollen, N., and J. Busse. 2005. Short-term Persistence in Mutual Fund Performance. Review of Financial Studies 18:569-97. (Pubitemid 41389281)
7. Busse, J., and P. Irvine. 2006. Bayesian Alphas and Mutual Fund Performance. Journal of Finance 61:2251-88. (Pubitemid 44414097)
8. Bushee, B. 1998. The Influence of Institutional Investors on Myopic R&D Investment Behavior. Accounting Review 73:305-33. (Pubitemid 128182951)
9. -2000. Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility. Journal of Accounting Research 38:171-202.
10. Carhart, M. 1997. On Persistence in Mutual Fund Performance. Journal of Finance 52:57-82.
11. Chan, L., and J. Lakonishok. 1995. The Behavior of Stock Prices Around Institutional Trades. Journal of Finance 50:713-35.
12. Chemmanur, T., S. He, and G. Hu. 2009. The Role of Institutional Investors in Seasoned Equity Offerings. Journal of Financial Economics 94:384-411.
13. Chen, H., N. Jegadeesh, and R.Wermers. 2000. The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers. Journal of Financial and Quantitative Analysis 35:343-68.
14. Chiyachantana, C., P. Jain, C. Jiang, and R. Wood. 2004. International Evidence on Institutional Trading Behavior and the Determinants of Price Impact. Journal of Finance 59:865-94.
15. Christoffersen, S., D. Keim, and D. Musto. 2006. Valuable Information and Costly Liquidity: Evidence from Individual Mutual Fund Trades. Working Paper, McGill University.
16. Conrad, J., K. Johnson, and S. Wahal. 2001. Institutional Trading and Soft Dollars. Journal of Finance 46:397-416.
17. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers. 1997. Measuring Mutual Fund Performance with Characteristic-based Benchmarks. Journal of Finance 52:1035-58.
18. Duan, Y., G. Hu, and D. McLean. 2009. When Is Stock-picking Likely to Be Successful? Evidence from Mutual Funds. Financial Analysts Journal 65:55-66.
19. Edelen, R., R. Evans, and G. Kadlec. 2007. Scale Effects in Mutual Fund Performance: The Role of Trading Costs. Working Paper, University of Virginia.
20. Elton, E., M. Gruber, and J. Busse. 2004. Are Investors Rational? Choices Among Index Funds. Journal of Finance 59:261-88. (Pubitemid 38389597)
21. Elton, E., M. Gruber, C. Blake, Y. Krasny, and S. Ozelge. 2010. The Effect of Holdings Data Frequency on Conclusions About Mutual Fund Behavior. Journal of Banking and Finance 34:912-22.
22. Goldstein, M., P. Irvine, E. Kandel, and Z. Weiner. 2009. Brokerage Commissions and Institutional Trading Patterns. Review of Financial Studies 22:5175-212.
23. Goldstein, M., P. Irvine, and A. Puckett. Forthcoming. Purchasing IPOs with Commissions. Journal of Financial and Quantitative Analysis.
24. Griffin, J., J. Harris, and S. Topaloglu. 2003. The Dynamics of Institutional and Individual Trading. Journal of Finance 58:2285-320. (Pubitemid 37488588)
25. Grinblatt, M., and S. Titman. 1989. Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. Journal of Business 62:393-416.
26. Harris, L. 1999. Trading in Pennies: A Survey of the Issues. Working Paper, University of Southern California.
27. Hu, G. 2009. Measures of Implicit Trading Costs and Buy-Sell Asymmetry. Journal of Financial Markets 12:418-37.
28. Huang, R., and H. Stoll. 1996. Dealer versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and NYSE. Journal of Financial Economics 41:313-57. (Pubitemid 126169749)
29. Jensen, M. 1968. The Performance of Mutual Funds in the Period 1945-1964. Journal of Finance 23:389-416.
30. Jones, C., and M. Lipson. 2001. Sixteenths: Direct Evidence on Institutional Execution Costs. Journal of Financial Economics 59:253-78. (Pubitemid 33627925)
31. Kacperczyk, M., and A. Seru. 2007. Fund Manager Use of Public Information: New Evidence on Managerial Skills. Journal of Finance 62:485-528.
32. Kacperczyk, M., C. Sialm, and L. Zheng. 2005. On the Industry Concentration of Actively Managed Equity Mutual Funds. Journal of Finance 60:1983-2011.
33. -2008. Unobserved Actions of Mutual Funds. Review of Financial Studies 21:2379-416.
34. Keim, D., and A. Madhavan. 1995. Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders. Journal of Financial Economics 37:371-98.
35. -1997. Transactions Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades. Journal of Financial Economics 46:265-92. (Pubitemid 127162061)
36. Kosowski, R., A. Timmermann, R.Wermers, and H. White. 2006. Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis. Journal of Finance 61:2551-95.
37. Lee, C., and M. Ready. 1991. Inferring Trade Direction from Intraday Data. Journal of Finance 41: 733-46.
38. Linnainmaa, J. 2007. Does It Matter Who Trades? Broker Identities and the Information Content of Stock Trades. Working Paper, University of Chicago.
39. Madhavan, A., and M. Cheng. 1997. In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets. Review of Financial Studies 10:175-203. (Pubitemid 127348422)
40. Madhavan, A. 2002. VWAP Strategies. Transaction Performance. Spring 2002.
41. Moulton, B. 1986. Random Group Effects and the Precision of Regression Estimates. Journal of Econometrics 32:385-97.
42. Perold, A. 1988. The Implementation Shortfall: Paper Versus Reality. Journal of Portfolio Management 14:4-9.
43. Puckett, A., and S. Yan. 2011. The Interim Trading Skills of Institutional Investors. Journal of Finance 66:601-33.
44. Securities and Exchange Commission. 2003. Measures to Improve Disclosure of Mutual Fund Transaction Costs. Concept Release, 33-8349.
45. -2008. Commission Guidance Regarding the Duties and Responsibilities of Investment Company Board of Directors with Respect to Investment Advisor Portfolio Trading Practices. 17 CFR Part 275.
46. Sofianos, G. 2001. The Changing NASDAQ Market and Institutional Transaction Fees. Goldman Sachs Derivatives and Trading Research, May 31.
47. -2005. Execution Quality Benchmarks: I Can See Clearly Now.. . Trading and Market Structure Analysis, Goldman Sachs.
48. Stoll, H. 2000. Friction. Journal of Finance 55:1479-514.
49. Thompson, S. 2010. Simple Formulas for Standard Errors That Cluster by Both Firm and Time. Journal of Financial Economics 99:1-10.
50. Wagner, W., and M. Edwards. 1993. Best Execution. Financial Analysts Journal 49:65-71.
51. Wermers, R. 2000. Mutual Fund Performance: An Empirical Decomposition into Stock-picking Talent, Style, Transaction Costs, and Expenses. Journal of Finance 55:1655-703.