Open AccessTransaction costs and institutional trading in small-cap equity funds
Author(s) -
Carole ComertonForde,
David R. Gallagher,
Jumahhas,
Terry S. Walter
Publication year - 2010
Publication title -
australian journal of management
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.419
H-Index - 39
eISSN - 1327-2020
pISSN - 0312-8962
DOI - 10.1177/0312896210385284
Subject(s) - equity (law) , transaction cost , business , monetary economics , volume weighted average price , institutional investor , economics , finance , stock price , cost price , paleontology , series (stratigraphy) , biology , corporate governance , political science , law
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.15 page(s
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