Bikker, Jacob A.; Spierdijk, Laura; Sluis, Pieter Jelle … - de Nederlandsche Bank - 2004
This paper is the first to analyze market impact and execution costs of equity trading by a pension fund. We find that, on average, these costs are nonnegligible. Average market impact costs equal 20 basis points for buys and 30 basis points for sells; average execution costs equal 27 basis...
