Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
➤ Gửi thông báo lỗi ⚠️ Báo cáo tài liệu vi phạmNội dung chi tiết: Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
Performance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012Andy PuckettUniversity of TennesseeKumar VenkataramanSouthern Methodist UniversityUsing a proprietary dataset of institutional investors' equity transactions, we document that institutional trading desks can sustain relative performance over adjacent periods. We find that trading-desk skill is posit Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012ively correlated with the performance of the institution's traded portfolio, suggesting that institutions that invest resources m developing executionPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
abilities also invest in generating superior investment ideas. Although some brokers can deliver better executions consistently over time, our analysPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012 important and can contribute to relative portfolio performance. (JEL G12. G23. G24)For their comments. we thank Hank Bessembinder. Ekkeliart Boehmer. Jeffrey Busse. John Griffin. Paul Goldman. Mat Gulley. Jeff Harris. Swami Kalpathy. Qin Lei. Eh Levine. Stewart Mayhew. Holly McHatton. Tim McCormick Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012. Bill Stephenson. George Sorianos. Laura Stalks (the editor), an anonymous referee. Rex Thompson. Ingrid Tierens. Ram Xenkataraman. Andres Vinelh. anPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
d seminar participants at the American Finance Association Conference. Bank of America Merrill Lynch. Chicago Quantitative Alliance. Commodity FuturesPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012ness. Nanyang Technological University. National University of Singapore. Quorum 15. Rutgers University. University' of New South Wales. Securities and Exchange Commission, the Third .Annual IIROC conference. Singapore Management University. Southern Methodist University. SAC Capital. University' of Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012 North Carolina at Charlotte. University of Virginia. Utah Winter Finance conference, and Villanova University. We are grateful to Ancemo Ltd. (formerPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
ly the Abel'Noser Corporation) and Judy Maiorca for providing the institutional trading data. Kumar Venkataraman thanks the Fabacher endowed professorPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012search) at Syracuse University. Send correspondence to Kumar X enkataraman. Department of Finance. 340A Fincher. Southern Methodist University. Dallas. TX 75275: telephone: (214) 76S-"005. E-mail: kumar@mail.cox.smu.edu.© The Author 2011. Published by Oxford University Piess on behalf of The Society Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012 for Financial Studies. All rights reserved. For Permissions, please e-mail: joumals.permissions@oup.com.doi: 10.1093 'rfs'hhrl 10Advance Access publiPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
cation November 17.2011Downloaded from http://rfs.oxfordjoumals.org/ at SMƯ Cui-Fond Periodicals on September 9. 2015The Review afFinancial Studies/v Performance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012the returns of a real portfolio—based on trades actually executed—with those of a hypothetical or paper portfolio, whose security positions were acquired at prices observed at the time of the trading decision. Pcrold (1988) named this performance difference, which captures the cumulative impact of t Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012rading costs, such as commissions, bid-ask spreads, and market impact, as “the implementation shortfall.” From 1965 to 1986, Pcrold observes that a paPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
per portfolio based on the Value Line ranking system outperformed the market by 20% per year, and the real Value Line fund, which implemented the tradPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012nt as the investment idea itself.This study contributes to the literature on the performance of financial intermediaries. Prior academic research has focused on the performance of money managers, such as mutual funds, hedge funds, and institutional plan sponsors. However, there is little academic wo Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012rk examining the performance of an important category of financial intermediaries, namely trading desks, which are responsible for trillions of dollarPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
s in executions each year. In this article, we establish the importance of trading desks for managed portfolio performance by documenting economicallyPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012of the tests in the performance measurement literature examine performance persistence: whether past portfolio performance is informative about future portfolio performance. Several recent studies on mutual funds (see, e.g., Kacperczyk and Seru 2007; Bollen and Busse 2005; Busse and Irvine 2006) fin Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012d evidence that funds can sustain relative performance beyond expenses or momentum over adjacent periods. This evidence, on persistent performance byPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
funds, raises an important question regarding the sources of persistence. Most prior work attributes some part of persistence to fund manager skill. HPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012erformance and that the fund is more important than the manager.If managerial stock-picking prowess is the primary driver, then why would the identity of the fund be a source of relative performance? Is the buy-side trading desk part of the explanation? Trading costs have the ability to erode or eli Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012minate the value added by portfolio managers. Managers rely on buyside trading desks in order to implement their investment ideas. A trading desk canPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
add value to an institution's portfolio by supplying expertise in locatingDownloaded front http/'rfs.oxfordjournals.org at SMU Cui-Fond Periodicals onPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012-way trading costs of forty-one basis points for 1997 199S and thirty-one basis points for 2001. Other related studies include Chan and l.akonishok (1995), Keim and Madhavan (1997), Jones and Lipson 12001). Conrad. Johnson, and Wahal (2001). and Goldstein et al. (2009).Performance of Insnriirional T Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012rading Desks An Analysis of Persistence nt Trading Cocounterparties and formulating trading strategies. Therefore, it is natural to ask whether the exPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
ecution process contributes to differential institutional performance. Unfortunately, the information necessary to estimate institutional trading costPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012ociated with a trade, provide information about whether a trade was a buy or a sell, or provide information about whether a trade represented all or part of an institutional investor's larger package of trades.We examine a proprietary' database of institutional investor equity transactions compiled Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012by Ancemo Ltd. (formerly the Abel/Noser Corporation). The data contain approximately forty-eight million tickets that are initiated by 750 institutionPerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
al investors and facilitated by 1,216 brokerage firms over the ten-year period of 1999-2008. The Ancerno database is distinctive in that it contains aPerformance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012; each ticket typically results in more than one execution. The data for each ticket include stock identifiers that help in obtaining relevant data from other sources and, more importantly for this study, codes that identify the institution and the broker. The detailed transaction-level Ancerno data Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012set seems particularly well suited for studying whether trading desks can sustain relative performance and contribute to fund performance persistence.Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
Our article focuses on a literature that examines heterogeneity in transaction costs for specific intermediaries. Linnainmaa (2007) uses Finnish data Performance of Institutional Trading Desks: An Analysis of Persistence in Trading CostsAmber AnandSyracuse UniversityPaul IrvineUniversity of GeorgiaA Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012een soft-dollar arrangements and institutional trading costs. Keim and Madhavan (1997) and Christoffersen. Keim, and Musto (2006) show dispersion in trading costs of institutions and mutual tunds. Yet, dispersion does not imply persistence. Furthermore, institutional execution is a joint production Performance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012process that incorporates the decisions of both institutions and their brokers. Our article complements this body of literature, using more extensivePerformance-of-Institutional-Trading-Desks-An-Analysis-of-Presistence-in-Trading-Costs-2012
trading data that allow us to integrate both institutional execution and broker execution into a single framework. To the best of our knowledge, thisGọi ngay
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