Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/sage/transaction-costs-and-institutional-trading-in-small-cap-equity-funds-7zTRhfgBa9
- Publisher
- SAGE
- Copyright
- © The Author(s) 2010
- ISSN
- 0312-8962
- eISSN
- 1327-2020
- DOI
- 10.1177/0312896210385284
- Publisher site
- See Article on Publisher Site
Abstract
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.
Journal
Australian Journal of Management – SAGE
Published: Dec 1, 2010