This paper examines the empirical evidence on the cost of equity trades for institutional investors. There is considerable practical and academic interest in the measurement and analysis of trading costs. We discuss some of the results that emerge from the recent literature on institutional...

Exchange seats are capital assets that confer access to the trading floor. As such, their prices reflect expectations about future activity and returns for the market as a whole. For this reason, the process by which seat prices are determined provides valuable information about beliefs of...

This paper develops a model of the upstairs market where order size, beliefs, and prices are determined endogenously. We test the model's predictions using unique data for 5,625 equity trades during 1985-1992 that are known to be upstairs transactions and are identified as either buyer-or...

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...

This paper examines the behavior of institutional traders using unique data on the equity transactions of 21 institutions of differing investment styles during 1991-1993. The data provide a detailed account of the anatomy of the trading process, and include information on the number of days...

This paper analyzes the effect on equity prices of large- block transactions negotiated 'upstairs.' We develop a model of the upstairs market which yields testable hypotheses. We investigate these hypotheses with unique data for 5,625 block trades in 1985-1992. Unlike previous studies, all the...

This paper develops a structural model of intraday price formation that embodies both information shocks and microstructure effects in an internally consistent, unified setting. The model allows us to better understand the observed intra-day patterns in bid-ask spreads, price volatility,...

The equity indexes of the Frank Russell Company are widely used as performance benchmarks for investment managers. Once a year, at the end of June, the Frank Russell Company reconstitutes its stock market indexes. We document economically and statistically significant abnormal returns associated...

Market microstructure is the area of finance that studies the process by which investors' latent demands are ultimately translated into prices and volumes. This paper provides a detailed review of the theoretical, empirical and experimental literature on market microstructure with a special...

Primary capital markets involve the exchange of cash for claims against the issuers, either in the form of equity or debt, or some other derivative instrument. These markets are of great importance to both investors and issuers, especially in emerging markets where capital is scarce relative to...