Search Results - subject:"Implementation shortfall"

Smart rebalancing

Arnott, Rob; Li, Feifei; Linnainmaa, Juhani - In: Financial analysts journal : FAJ 80 (2024) 2, pp. 26-51

Persistent link: https://www.econbiz.de/10014576170

Banning dark pools : venue selection and investor trading costs

Neumeier, Christian; Gozluklu, Arie; Hoffmann, Peter; … - In: Journal of financial markets 65 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014466314

Capacity constraints in hedge funds : the relation between fund performance and cohort size

Forsberg, David; Gallagher, David R.; Warren, Geoff - In: Financial analysts journal : FAJ 78 (2022) 2, pp. 57-77

Persistent link: https://www.econbiz.de/10013252656

Market or limit orders?

Mitchell, Daniel; Chen, Jingnan - In: Quantitative finance 20 (2020) 3, pp. 447-461

Persistent link: https://www.econbiz.de/10012194901

Do high-frequency traders improve your implementation shortfall?

Korajczyk, Robert A.; Murphy, Dermot - In: Journal of investment management : JOIM 18 (2020) 1, pp. 18-33

Persistent link: https://www.econbiz.de/10012254346

Asset management in volatile markets

Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

Persistent link: https://www.econbiz.de/10011705329

Trading costs on the Stock Exchange of Thailand

Jenwittayaroje, Nattawut; Charoenwong, Charlie; Ding, … - In: International review of financial analysis 41 (2015), pp. 31-40

Persistent link: https://www.econbiz.de/10011508559

Asset Management in Volatile Markets

Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - 2008

Persistent link: https://www.econbiz.de/10011689936

Comparison between the mean-variance optimal and the mean-quadratic-variation optimal trading strategies

Tse, S. T.; Forsyth, Peter; Kennedy, J. S.; Windcliff, H. - In: Applied mathematical finance 20 (2013) 5/6, pp. 415-449

Persistent link: https://www.econbiz.de/10010235600

The Implementation Shortfall of Institutional Equity Trades

Bikker, Jacob A.; Spierdijk, Laura; Sluis, Pieter Jelle … - Faculteit der Economische Wetenschappen en … - 2004

This paper is the first to analyze the price effects of equity trading by a pension fund. We find that, on average, these effects are nonnegligible: 20 basis points for buys and 26 basis points for sells. Furthermore, we show that (relative) trade size and market capitalization, commonly...

Persistent link: https://www.econbiz.de/10010783194