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Recursos bibliográficos en papel y digitales -
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» Resultado: 3 registros
| Registro 1 de 3 | |
| Autor: | Chan, Louis-K-C - Lakonishok, Josef - |
| Título: | Institutional Equity Trading Costs: NYSE versus Nasdaq |
| Fuente: | Journal of Finance. v.52, n.2. American Finance Association |
| Páginas: | pp. 713-35 |
| Año: | June 1997 |
| Resumen: | The authors compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in cost generally conform to each market’s area of specialization. Controlling for firm size, trade size, and the money management firm’s identity, costs are lower on Nasdaq for trades in comparatively smaller firms, while costs for trading the larger stocks are lower on NYSE. The cost differences estimated from a regression model are, however, sensitive to the choice of time period. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 3 | |
| Autor: | Chan, Louis-K-C - Lakonishok, Josef - |
| Título: | The Behavior of Stock Prices around Institutional Trades |
| Fuente: | Journal of Finance. v.50, n.4. American Finance Association |
| Páginas: | pp. 1147-74 |
| Año: | Sept. 1995 |
| Resumen: | All trades executed by thirty-seven large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire sequence(’package’) of trades that the authors interpret as an order. The authors find that market impact and trading cost are related to firm capitalization, relative package size, and, most importantly, to the identity of the management firm behind the trade. Money managers with high demands for immediacy tend to be associated with larger market impact. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 3 de 3 | |
| Autor: | Chan, Louis-K-C - Jegadeesh, Narasimhan - Lakonishok, Josef - |
| Título: | Evaluating the Performance of Value versus Glamour Stocks: The Impact of Selection Bias |
| Fuente: | Journal of Financial Economics. v.38, n.3. Elsevier Science |
| Páginas: | pp. 269-96 |
| Año: | July 1995 |
| Resumen: | The authors examine whether sample selection bias explains the difference in returns between ’value’ stocks (high book-to-market ratios) and ’glamour’ stocks (low book-to-market ratios). Selection bias on Compustat is not a severe problem: for CRSP primary domestic firms, the proportion missing from Compustat is not large and the average return is not very different from the Compustat sample. Mechanical problems with matching Cusip identifiers account for much of the discrepancy between CRSP and Compustat. The superior performance of value stocks is confirmed for the top quintile of NYSE-Amex stocks using a sample free from selection bias. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
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