Previous research examining the price impact of institutional trading concludes that index funds incur higher liquidity costs due to the higher demand for trading immediacy. However, this conclusion has only been inferred by comparing the total price impact of active and index funds. This study...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We find index and enhanced funds earn returns and exhibit risk commensurate with underlying indices. Relative to index funds, enhanced index...

This paper examines the market-impact cost of trades executed in futures markets, which is commonly referred to as quot;slippagequot;. Using a unique dataset provided by the Sydney Futures Exchange, this paper documents that slippage costs incurred in executing packages of trades in stock index...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We find index and enhanced funds earn returns and exhibit risk commensurate with underlying indices. Relative to index funds, enhanced index...

Using a unique dataset of Australian equity fund managers that spans 18.5 years, we examine why institutional traders may prefer more reputable full-service brokers to discount (or less reputable) brokers. In particular, we examine two possible determinants in this choice: execution ability and...

This paper demonstrates that broker research and trade execution ability has a significant impact on the cost of institutional trading. The results reveal that there is significant variation in the ability of brokers to control execution costs. Trades executed by brokers with stronger research...

This article examines the market‐impact cost of trades executed in futures markets, which is commonly referred to as slippage. With the use of a unique data set provided by the Sydney Futures Exchange, this article documents that slippage costs incurred in executing packages of trades in...