This article provides an overview of the empirical evidence on the magnitude and determinants of equity trading costs. The focus is primarily on the trades of institutional investors.

In 1982, Dimensional Fund Advisors launched a mutual fund intended to capture the returns of small-cap stocks comprising the 9th and 10th deciles of NYSE market capitalization. Although linked to the CRSP 9-10 Index, the design of the 9-10 Fund incorporates investment rules and a trading...

This paper examines the optimal consumption and investment problem for a "large" investor, whose portfolio choices affect the instantaneous expected returns on the traded assets.

Chicago-based Morningstar rates the investment performance of mutual funds, assigning one to five stars with five being the best rating. This paper first documents the method that Morningstar uses in assigning these widely circulated ratings and then explores in detail the implications for the...

It is well established that recent prior winner and loser stocks exhibit return continuation; a momentum strategy of buying recent winners and shorting recent losers appears profitable in the post 1945 era. In contrast, the risk exposure of such a strategy has not been well understood; the...