Download or read book Transaction Costs and Institutional Investor Trading Strategies written by Robert Alan Schwartz and published by . This book was released on 1988 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Fundamental Analysis Institutional Investment and Limits to Arbitrage written by Yanfeng Xue and published by . This book was released on 2008 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous research documents that financial ratios (fundamental signals) derived from publicly available financial statements can predict future abnormal stock returns. This paper examines whether institutional investors trade on these fundamental signals and the implications of institutional investors' trading for stock valuation. We provide evidence that transient institutional investors (institutions who actively trade securities for short-term returns) trade on fundamental signals. We also show that the abnormal returns associated with fundamental signals increase with transaction costs and arbitrage risk, indicating the existence of the limits to arbitrage for this investment strategy. We further document that transient institutions trade less aggressively to exploit the fundamental-signal-based trading strategy in firms with higher transaction costs and arbitrage risk, and their arbitrage trades help reduce the returns related to fundamental signals. This paper provides evidence helping to explain the abnormal returns associated with fundamental signals and contributes to our understanding of institutional investors' role in enhancing market efficiency.

Download or read book Coping With Institutional Order Flow written by Robert A. Schwartz and published by Springer Science & Business Media. This book was released on 2006-10-16 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: On April 29, 2003, the Zicklin School of Business hosted a trading conference titled, Coping With Institutional Order Flow. This conference was electronically recorded and later transcribed for this book. The text includes the edited transcript of the panel discussions and separate presentations by two major industry executives, Richard Ketchum' and Robert Mc Sweeney. As with the other volumes in this popular series, this book is not simply intended to be an historical record of the conference. We have edited the manuscript for clarity, perspective and context. New material was gathered in subsequent interviews with many of the panelists. Consequently, some remarks and passages in the text were altered and expanded and many footnotes were introduced. Our goal was to flesh out the dialogue and presentations and to keep the material as contemporary as possible. In doing so, we went to great lengths to preserve the essential nature of the original debate. We worked closely with the panelists in the editing process and took pains not to distort the meaning of their remarks. They have all approved the final draft of the manuscript. We thank them for their assistance and patience. \n my opening remarks at the conference, I suggested that effective handling of institutional order flow is one of the most important and difficult At the time of the conference, Richard Ketchum was President and Deputy Chairman at The Nasdaq Stock Market, Inc. Preface xiv challenges facing our equity markets today.

Download or read book Trading and Electronic Markets What Investment Professionals Need to Know written by Larry Harris and published by CFA Institute Research Foundation. This book was released on 2015-10-19 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The true meaning of investment discipline is to trade only when you rationally expect that you will achieve your desired objective. Accordingly, managers must thoroughly understand why they trade. Because trading is a zero-sum game, good investment discipline also requires that managers understand why their counterparties trade. This book surveys the many reasons why people trade and identifies the implications of the zero-sum game for investment discipline. It also identifies the origins of liquidity and thus of transaction costs, as well as when active investment strategies are profitable. The book then explains how managers must measure and control transaction costs to perform well. Electronic trading systems and electronic trading strategies now dominate trading in exchange markets throughout the world. The book identifies why speed is of such great importance to electronic traders, how they obtain it, and the trading strategies they use to exploit it. Finally, the book analyzes many issues associated with electronic trading that currently concern practitioners and regulators.

Download or read book Trading Strategies in the Presence of Private Information and Transaction Costs written by and published by . This book was released on 1991 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.

Download or read book Equity Trading by Institutional Investors written by Randi Naes and published by . This book was released on 2010 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proliferation of market places and trading methods is a striking feature of current equity markets. A stated goal of all the new trading arrangements is to reduce transaction costs. We investigate costs in one particular new market place, the crossing network. A crossing network is a satellite trading place; it uses prices derived from some primary market, and merely matches on quantity. Using special features of a data sample from a large institutional investor, we provide evidence that low measured costs in crossing networks are offset by substantial costs of non-trading. The costs of non-trading, which are related to adverse selection in the networks, are not reflected in standard measures of transaction costs.

Download or read book Options Essential Concepts 3rd Edition written by The Options Institute and published by McGraw Hill Professional. This book was released on 1999-07-12 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get the acknowledged industry classic – revised and updated to deliver everything from time-honored options concepts to strategies for individual and institutional investors and traders. Every stock trader or market maker, whether currently involved with options or not, should own OPTIONS: ESSENTIAL CONCEPTS AND TRADING STRATEGIES, THIRD EDITION. Written by today's leading options practitioners—and edited by The Options Institute, the globally renowned Educational Division of the Chicago Board Options Exchange—OPTIONS leaves no stone unturned in delivering the most complete, authoritative, and easy-to-understand blueprint available for navigating the profitable twists and turns of today's options marketplace. No-nonsense, packed with useful information, and valuable as either an introductory textbook or a comprehensive fingertip reference source, this thoroughly revised and updated edition details: What options are, how they are priced, and how they are traded; Basic option trading strategies such as covered writing and protective puts; Advanced strategies involving LEAPS and the stock repair strategy; Options from three points of view: private investor, institutional investor, and market maker; How to use the power of the Internet for trading and detailed information gathering. The well-organized, thought-provoking, and dependable ideas found here will help you use options to increase the returns in virtually any investment mix. The comprehensive answers to a wide range of options questions, as well as insights into the latest options trading strategies, cover: Option Market History – From early transactions to latter-day innovations including LEAPS and index options, knowledge of options industry history will help you intuitively understand and trade profitably today; Essential Concepts – Fundamentals of options pricing theory and their relationship to market prediction, stock selection, and risk management; volatility explained; and introductory strategies from long call to covered strangle;Investing and Trading Strategies – Discussions of how to approach and understand "investing" strategies that focus on ownership of an underlying equity versus "trading". strategies with no intent to hold the underlying stock; plus, the function of market makers ; Real-Time Applications – Institutional case studies; how to use options as an indicator of price moves for an underlying stock; using the Internet for instantaneous trades and information; plus, a comprehensive glossary of option market terminology. OPTIONS, THIRD EDITION, takes the guesswork out of trading options and gives you the information you need to become a savvy options trader. So get your questions together, and use this step-by-step guidebook to develop option strategies that meet your investment objectives: hedging your stock market risk, increasing your portfolio income, or improving your trading results.

Download or read book ICFA Continuing Education written by and published by . This book was released on 1993 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Institutional Algorithmic Trading Statistical Arbitrage and Technical Analysis written by Ning Shen and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technical analysis tools are widely used by short term investors in the financial market to identify trading opportunities and generate abnormal profit. Two of the most popular ones, Moving Average Convergence - Divergence and Bollinger Bands, are adopted in this study for algorithmic traders and statistical arbitragers (intraday trading) to reveal their effectiveness in terms of realizing sizeable profit before and after transaction cost. The simple oscillator signals derived from MACD and BB fail to efficiently recognize optimal trading timing and negative profit before and after transaction cost are realized under both strategies. Numerical analysis describes the sensitivity of profit with and without transaction fee to the strategies parameters. The results disclose that the selection of relevant parameters is not able to improve the performance of the strategies. A Long Only Filter Strategy (LOFS) is created to further investigate the possible strategies employed by institutional investors. Successfully generating considerable profit after transaction cost with a significant lower level risk, LOFS outperforms the buy-and-hold benchmark strategy as well as MACD and Bollinger Bands. LOFS is a promising strategy for statistical arbitragers who aim to profit from trading after accounting for transaction costs.

Download or read book Non discretionary FX Strategies written by Kim Nydahl Grønlund and published by . This book was released on 2008 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: Index was able to hold its own in portfolio optimization even after incorporating transaction costs, the sensitivity of the results to changes in transaction costs are considerable. For this reason transaction costs are the main threat to the performance of non-discretionary FX strategies. Another caveat of the returns from non-discretionary FX strategies is that they do not appear to be normally distributed. The returns from the FX index and the underlying strategies exhibited high excess kurtosis, and for the carry strategy, negatively skewed return Based on the analysis we conclude that investing in non-discretionary FX strategies would improve the portfolio performance of Danish institutional investors. While risk-adjusted may not be necessarily superior, the diversification benefits appear substantial, also in times of bear stock markets. We find that a portfolio holding of approximately 15% in a set of non-discretionary FX strategies, potentially more depending on transaction cost assumptions, would optimize the portfolio performance of Danish institutional investors. Careful analysis, however, of the transaction costs and the impact of non-normally distributed risk should be conducted before incorporating a set of non-discretionary FX strategies into the portfolio.

Download or read book Transaction Costs and Institutional Trading in Small Cap Equity Funds written by Carole Comerton-Forde and published by . This book was released on 2008 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price impact for these funds is 0.67 (-0.62) percent for purchases (sales). This is significantly larger than costs reported in prior research. No significant asymmetries in the magnitude or direction of price impacts are observed. Consistent with existing literature, trade duration, fund investment style and manager identity are determinants of price impact. Analysis of a new variable, fund status, reveals that funds which are closed to new money incur significantly lower price impacts on sales compared to funds which remain open.

Download or read book Three Essays on Institutional Investors written by Ligang Zhong and published by . This book was released on 2012 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I investigate the impact of institutional investors on security prices and corporate policies, and offer a new perspective on the vital role that institutional investors play in the modern capital market. Specifically, on the impact on security price movements, I design a new measure of stock-level sentiment based on mutual fund publically disclosed portfolio information and provide a new dimension to better predict stock returns. A trading strategy based on the new sentiment metrics can generate an annualized alpha of 21.27%. The abnormal returns cannot be explained by the time-varying expected returns and transaction costs, and can be best explained by mutual fund overreactions. Hence, my findings can be interpreted as a new anomaly in a new era-when institutional investors are the marginal traders. On the impact on corporate policy side, I document two pieces of new empirical evidence on the importance of long-term institutional holdings: the entrenchment effect of long-term institutional holdings in the context of corporate financing decisions and the active monitoring role of long-term institutional investors in the context of international firms' accounting qualities. Combined with previous studies which favour a long-term institutional investor, the evidence on the cost side of long-term holding I document here can serve as the first call for an optimal investment horizon for firms operating in the U.S.

Download or read book Efficiently Inefficient written by Lasse Heje Pedersen and published by Princeton University Press. This book was released on 2019-09-17 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how certain trading strategies make money--and why they sometimes don't. Pedersen views markets as neither perfectly efficient nor completely inefficient. Rather, they are inefficient enough that money managers can be compensated for their costs through the profits of their trading strategies and efficient enough that the profits after costs do not encourage additional active investing. Understanding how to trade in this efficiently inefficient market provides a new, engaging way to learn finance. Pedersen analyzes how the market price of stocks and bonds can differ from the model price, leading to new perspectives on the relationship between trading results and finance theory. He explores several different areas in depth--fundamental tools for investment management, equity strategies, macro strategies, and arbitrage strategies--and he looks at such diverse topics as portfolio choice, risk management, equity valuation, and yield curve logic. The book's strategies are illuminated further by interviews with leading hedge fund managers: Lee Ainslie, Cliff Asness, Jim Chanos, Ken Griffin, David Harding, John Paulson, Myron Scholes, and George Soros.

Download or read book Managing Transaction Costs in a Dynamic Trading Strategy written by James A. Sefton and published by . This book was released on 2015 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive an explicit solution to a continuous time dynamic portfolio problem assuming investors maximize their welfare from a consumption stream in an incomplete market where returns to the securities are predictable but costly to trade. The solution is phrased in terms of a risk-sensitive Riccati equation. We show that the optimal trading strategy is to target a portfolio that is the optimal solution to a frictionless (or 'no-cost') dynamic portfolio problem but where the returns to the assets have been adjusted for costs; that is they have been expressed on a net rather than gross basis. The legacy portfolio (the inherited undesirable positions) are then traded away in line with a backward-looking optimal execution problem. We show that the utility gradient is a stochastic discount factor that prices the assets net returns. Thus we are able to generalise some of the results of the martingale approach to dynamic portfolio theory to market with frictions.

Download or read book Optimal Execution for Portfolio Transactions written by Alexander Fadeev and published by . This book was released on 2007 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my thesis I explore the problem of optimizing trading strategies for complex portfolio transitions. Institutional investors run into this issue during periodic portfolio rebalancing or transition between asset managers. The costs of rebalancing can be broadly broken into trading costs (both the transaction cost and the market impact) and the opportunity costs of delaying the execution and bearing the risk of current-to-target portfolio divergence. This thesis proposes a methodology for measuring the opportunity cost as well as a strategy that minimizes the proposed measure through optimal portfolio transition execution. The benefits from the proposed trading strategy are benchmarked against the industry standard portfolio trading practices.

Download or read book Execution Costs and Investment Performance written by Donald B. Keim and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the magnitude and determinants of execution costs associated with institutional equity trades and their effect on investment performance. Using detailed information on over $83 billion of recent equity transactions by 21 institutions, we analyze the major components of execution costs, including explicit and implicit costs. We find that execution costs are significantly related to trade size, exchange listing, and the traded stock's market capitalization. We also find that buyer-initiated trades are more costly than equivalent seller-initiated trades. Our results indicate that execution costs have a significant effect on performance over short horizons, and there is significant variation in trading costs and performance across institutions, reflecting differences in trading ability and style. The results provide a way to assess various trading strategies and to form benchmarks to evaluate portfolio managers.