Bikker, Jacob A.; Spierdijk, Laura; Sluis, Pieter Jelle … - VU University Amsterdam, Faculty of Economics, Business … - 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 nonðnegligible: 20 basis points for buys and 26 basis points for sells. Furðthermore, we show that (relative) trade size and market capitalization, commonly...