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Author: Donald B. Keim
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We examine the magnitude and determinants of execution costs associated with institutional equity trades and their effect on investment performance. Using detailed information on over $83 billion of recent equity transactions by 21 institutions, we analyze the major components of execution costs, including explicit and implicit costs. We find that execution costs are significantly related to trade size, exchange listing, and the traded stock's market capitalization. We also find that buyer-initiated trades are more costly than equivalent seller-initiated trades. Our results indicate that execution costs have a significant effect on performance over short horizons, and there is significant variation in trading costs and performance across institutions, reflecting differences in trading ability and style. The results provide a way to assess various trading strategies and to form benchmarks to evaluate portfolio managers.
Author: Donald B. Keim
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We examine the magnitude and determinants of execution costs associated with institutional equity trades and their effect on investment performance. Using detailed information on over $83 billion of recent equity transactions by 21 institutions, we analyze the major components of execution costs, including explicit and implicit costs. We find that execution costs are significantly related to trade size, exchange listing, and the traded stock's market capitalization. We also find that buyer-initiated trades are more costly than equivalent seller-initiated trades. Our results indicate that execution costs have a significant effect on performance over short horizons, and there is significant variation in trading costs and performance across institutions, reflecting differences in trading ability and style. The results provide a way to assess various trading strategies and to form benchmarks to evaluate portfolio managers.
Author: Donald Bruce Keim
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 21
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Book Description
Author: Donald Bruce Keim
Publisher:
ISBN:
Category : Institutional investments
Languages : en
Pages : 21
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Book Description
Author: Peter Joakim Westerholm
Publisher: World Scientific
ISBN: 9813234113
Category : Business & Economics
Languages : en
Pages : 267
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Book Description
This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications.Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field.The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings.
Author: Lee Freeman-Shor
Publisher: Harriman House Limited
ISBN: 0857195026
Category : Business & Economics
Languages : en
Pages : 106
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Book Description
Over seven years, 45 of the world's top investors were given between $25 and $150m to invest by fund manager Lee Freeman-Shor. His instructions were simple. There was only one rule. They could only invest in their ten best ideas to make money. It seemed like a foolproof plan to make a lot of money. What could possibly go wrong? These were some of the greatest minds at work in the markets today - from top European hedge fund managers to Wall Street legends. But most of the investors' great ideas actually lost money. Shockingly, a toss of a coin would have been a better method of choosing whether or not to invest in a stock. Nevertheless, despite being wrong most of the time, many of these investors still ended up making a lot of money. How could they be wrong most of the time and still be profitable? The answer lay in their hidden habits of execution, which until now have only been guessed at from the outside world. This book lays bare those secret habits for the first time, explaining them with real-life data, case studies and stories taken from Freeman-Shor's unique position of managing these investors on a day-to-day basis. A riveting read for investors of every level, this book shows you exactly what to do and what not to do when your big idea is losing or winning - and demonstrates conclusively why the most important thing about investing is always the art of execution.
Author: Robert Alan Schwartz
Publisher: HarperCollins Publishers
ISBN:
Category : Securities
Languages : en
Pages : 570
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Book Description
Author: Sven S. Groth
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In Germany, the national implementation of the quot;Markets in Financial Instruments Directivequot; (MiFID) produced exemptions from Best Execution requirements (Article 21) that were not intended by the regulator. The quot;Finanzmarkt-Richtlinie-Umsetzungsgesetzquot; (FRUG) explicitly excludes the issuance and redemption of investment fund shares from the Best Execution obligation. But as there are two distinctly different distribution channels in place, i.e. investment companies (and their intermediaries) and exchanges, it can be argued that this area of regulation still lacks sufficient investor protection. In order to assess whether or not (retail) investors would actually benefit from the inclusion of Best Execution requirements, the distribution channels within the investment funds industry were empirically evaluated. Building upon an exploration of industry structure, the Best Execution criteria price and cost were scrutinized. It has turned out that exchange specialists are principally able to track the performance of investment funds, i.e. maintain a valuation efficient market. Moreover, as expected, the purchase of investment funds units is - in most cases - cheaper on-exchange and the sale of investment funds units is mostly cheaper via the investment company (and its intermediaries). The findings further provide evidence for the importance of the Best Execution criterion speed. Despite of the cost advantage of selling investment funds units via the distribution channel investment company, investors are willing to pay a liquidity premium to execute faster on-exchange. Overall, we were able to show that Best Execution within the investment funds industry should be targeted by regulators.
Author: American Bar Association. House of Delegates
Publisher: American Bar Association
ISBN: 9781590318737
Category : Law
Languages : en
Pages : 216
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Book Description
The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
Author: Deniz Ozenbas
Publisher: Springer Nature
ISBN: 3030748170
Category : Business enterprises
Languages : en
Pages : 111
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Book Description
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Author: Larry Harris
Publisher: CFA Institute Research Foundation
ISBN: 1934667927
Category : Business & Economics
Languages : en
Pages : 94
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Book Description
The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.
