Sixteenths: Direct Evidence on Institutional Execution Costs

By Charles M. Jones, M. Lipson. 2001

277 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d6167bb04fa9e5c7412435ab34c5b308e519381c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Avanidhar Subrahmanyam
2. Tarun Chordia
3. Richard Roll
4. K. Venkataraman
5. Tarun Ramadorai
6. Christine A. Parlour
7. Duane J. Seppi
8. H. Bessembinder

In Finance

1. Avanidhar Subrahmanyam
2. Tarun Chordia
3. Richard Roll
4. Tarun Ramadorai
5. K. Venkataraman
6. H. Bessembinder
7. Amit Goyal
8. John Y. Campbell

In Management Science and Operations Research

1. Avanidhar Subrahmanyam
2. K. Venkataraman
3. Christine A. Parlour
4. Chester Spatt
5. Tarun Chordia
6. Lawrence R. Glosten
7. H. Bessembinder
8. Shan He

Citations in the corpus

• Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications (2005, background): “Also the empirical result in Jones et al. (1994b), that it is the occurrence of trades rather than the size of trades which conveys information, suggests including in the regressors the discrete variable, η0t, taking the value 1 for purchases and -1 for sales (as in Glosten and Harris, 1988).”
• Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, methodology): “Jones (2003) employ Audit Trail data from the NYSE, and Jones and Lipson (2001) and Barber and Odean (2008) use weekly data from Plexus, a transactions-cost measuring service for a subset of money managers.”
• The Role of Institutional Investors in Initial Public Offerings (2010, unknown): “The data are similar in nature to those used by several other studies on institutional trading—for example, K im and Madhavan (1995),Conrad, Johnson, and Wahal (2001),Jones and Lipson (2001),Irvine, Lipson, and Puckett (2007),Goldstein, Irvine, Kandel, and Wiener (2009), and Lipson and Puckett (2010”
• Modeling the bid/ask spread: measuring the inventory-holding premium ☆ (2004, unknown): “…market structure (e.g., Bessembinder and Kaufman, 1997; Ellis, Michaely and O'Hara, 2002), tick size (e.g, Bacidore, 1997; Bollen and Whaley, 1998; Goldstein and Kavajecz, 2000; Jones and Lipson, 2001; Bessembinder, 2003), and order-processing rules (e.g, Bessembinder, 1999; Weston, 2000).”
• Liquidity and Market Efficiency (2008, background): “If a reduction in tick sizes adversely affects institutional execution costs due to decreased depth (Jones and Lipson, 2001), then informational efficiency could be adversely affected because of reduced trading on information by large institutions.”
• Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs (2012, unknown): “Other related studies includeChan and Lakonishok(1995), Keim and Madhavan(1997), Jones and Lipson(2001), Conrad, Johnson, and Wahal(2001), andGoldstein et al.(2009).”
• Limit Order Markets: A Survey 1 (2008, background): “The 5See Goldstein and Kavajecz (2000) and Jones and Lipson (2001) for evidence consistent with predictions in Harris (1994) and Seppi (1997).”
• The Role of Institutional Investors in Seasoned Equity Offerings (2009, methodology): “The data are similar to those used by several microstructure studies on institutional trading costs, for example, Conrad, Johnson, and Wahal (2001), Goldstein, Irvine, Kandel, and Wiener (2008), Jones and Lipson (2001), and Keim and Madhavan (1995).”