The Cost of Institutional Equity Trades
The Cost of Institutional Equity Trades
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机构股票交易的成本
DOI：
10.2469/dig.v29.n1.426
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发表时间：
1999
期刊：
影响因子：
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通讯作者：
Bruce D. Phelps
中科院分区：
文献类型：
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作者：
Bruce D. Phelps
本文概述了最近关于机构投资者美国股票交易成本的文献研究结果，以及来自大量机构交易样本的交易成本的新证据。研究结果对决策者和投资者具有重要意义：隐性交易成本具有显著的经济意义；股权交易成本随交易难度和下单策略的不同而有较大的系统性变化；交易价格是否代表“最佳执行”取决于交易的整个订单提交过程的详细数据，特别是交易前决策变量的信息，如交易范围。
Presented are an overview of the findings from the recent literature on the cost of U.S. equity trades for institutional investors and new evidence on trading costs from a large sample of institutional trades. The findings discussed have important implications for policymakers and investors: Implicit trading costs are economically significant; equity trading costs vary considerably and vary systematically with trade difficulty and orderplacement strategy; and whether a trade price represents “best execution” depends on detailed data for the trade’s entire order-submission process, especially information on pretrade decision variables, such as the trading horizon.