Bikker, Jacob; Spierdijk, Laura; Sluis, Pieter-Jelle van der - In: Applied Economics 42 (2010) 3, pp. 369-387
This article 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...