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What Factors Increase the Risk of Incurring High Market Impact Costs?

[journal article]

Bikker, Jacob A.
Spierdijk, Laura
Sluis, Pieter-Jelle van der

Abstract

This paper applies quantile regression to assess the factors that influence the risk of incurring high trading costs. Using data on the equity trades of the world’s second largest pension fund in the first quarter of 2002, we show that trade timing, momentum, volatility, and the type of broker inter... view more

This paper applies quantile regression to assess the factors that influence the risk of incurring high trading costs. Using data on the equity trades of the world’s second largest pension fund in the first quarter of 2002, we show that trade timing, momentum, volatility, and the type of broker intermediation are the major determinants of the risk of incurring high trading costs. Such risk is increased substantially by either high or low momentum and by strong volatility. Moreover, agency trades are substantially more risky in terms of trading costs than similar principal trades. Finally, we show that the quantile regression model succeeds well in forecasting future trading costs.... view less

Document language
English

Publication Year
2009

Page/Pages
p. 369-387

Journal
Applied Economics, 42 (2009) 3

DOI
https://doi.org/10.1080/00036840701604461

Status
Postprint; peer reviewed

Licence
PEER Licence Agreement (applicable only to documents from PEER project)


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.