Until recently, all Canadian mutual funds were required to disclose all their individual trades, offering a unique and ideal opportunity to measure and analyze the cost and performance of mutual funds' trades. We find that active management delivers both cheaper trades and better subsequent...

In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks. The quot;9-10 Fundquot; is based on the CRSP 9-10 Index, an index of small-cap stocks comprising the 9th and 10th deciles of NYSE market capitalization. Although linked to the CRSP 9-10...

This paper examines the empirical evidence on the cost of equity trades for institutional investors. There is considerable practical and academic interest in the measurement and analysis of trading costs. We discuss some of the results that emerge from the recent literature on institutional...

Exchange seats are capital assets that confer access to the trading floor. As such, their prices reflect expectations about future activity and returns for the market as a whole. For this reason, the process by which seat prices are determined provides valuable information about beliefs of...

A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to...

This paper develops a model of the upstairs market where order size, beliefs, and prices are determined endogenously. We test the model's predictions using unique data for 5,625 equity trades during 1985-1992 that are known to be upstairs transactions and are identified as either buyer-or...

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...

Recent empirical findings suggest that equity returns are predictable. These findings document persistent cross- sectional and time series patterns in returns that are not predicted by extant theory, and are, therefore, often classified as anomalies. In this paper we synthesize the evidence on...

This paper examines the behavior of institutional traders using unique data on the equity transactions of 21 institutions of differing investment styles during 1991-1993. The data provide a detailed account of the anatomy of the trading process, and include information on the number of days...

This paper analyzes the effect on equity prices of large- block transactions negotiated 'upstairs.' We develop a model of the upstairs market which yields testable hypotheses. We investigate these hypotheses with unique data for 5,625 block trades in 1985-1992. Unlike previous studies, all the...