English, Article edition: Measures of implicit trading costs and buy-sell asymmetry Hu, Gang

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Measures of implicit trading costs and buy-sell asymmetry
Author
  • Hu, Gang
Physical Description
  • article
Notes
  • This paper shows that the widely documented buy-sell asymmetry in implicit institutional trading cost is mainly driven by mechanical characteristics of a specific class of measures: pre-trade measures. If a post-trade measure is used, the asymmetry is reversed in both rising and falling markets. Both pre-trade and post-trade measures are highly influenced by market movement, while during-trade measures are relatively neutral to market movement. I further show that a pre-trade measure can be decomposed into a market movement component and a during-trade measure, and empirically the market movement component is the dominant component. This paper demonstrates that simple mechanical characteristics of trading cost measures can have important implications for how empirical results are interpreted.
  • Institutional trading Trading cost measurement Buy-sell asymmetry Implementation shortfall VWAP
  • RePEc:eee:finmar:v:12:y:2009:i:3:p:418-437
Language
  • English
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