TY - JOUR
T1 - Transaction costs and institutional trading in small-cap equity funds
AU - Comerton-Forde, Carole
AU - Gallagher, David R.
AU - Nahhas, Jumana
AU - Walter, Terry S.
PY - 2010/12
Y1 - 2010/12
N2 - This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.99% (-0.34%) for purchases (sales). This is considerably larger than costs reported in prior literature. Both purchases and sales exhibit price continuations after the trade package, consistent with an information effect. Although we do not observe the directional asymmetry typically shown in the literature, the magnitude of the total and permanent effects for purchases is larger than for sales. We also show that price impact is related to fund inflows and outflows.
AB - This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.99% (-0.34%) for purchases (sales). This is considerably larger than costs reported in prior literature. Both purchases and sales exhibit price continuations after the trade package, consistent with an information effect. Although we do not observe the directional asymmetry typically shown in the literature, the magnitude of the total and permanent effects for purchases is larger than for sales. We also show that price impact is related to fund inflows and outflows.
UR - http://www.scopus.com/inward/record.url?scp=79251474962&partnerID=8YFLogxK
U2 - 10.1177/0312896210385284
DO - 10.1177/0312896210385284
M3 - Article
AN - SCOPUS:79251474962
SN - 0312-8962
VL - 35
SP - 313
EP - 327
JO - Australian Journal of Management
JF - Australian Journal of Management
IS - 3
ER -