tailieunhanh - Stock returns with price impact

In this paper, we study the stock returns for large trades with price impact. We use the daily changes in volume-weighted average price (VWAP) as a proxy of the returns for institutional investors. This return is then compared statistically to the daily return using closing price. Using a panel data of NYSE/AMEX stocks, we find a fixed effect contributing to the spread between them and it can be interpreted as an unbiased ex post estimate of price impact. | Journal of Applied Finance Banking 2013 327-342 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2013 Stock Returns with Price Impact Alfred Ka Chun Ma1 and Xiayun Sun2 Abstract In this paper we study the stock returns for large trades with price impact. We use the daily changes in volume-weighted average price VWAP as a proxy of the returns for institutional investors. This return is then compared statistically to the daily return using closing price. Using a panel data of NYSE AMEX stocks we find a fixed effect contributing to the spread between them and it can be interpreted as an unbiased ex post estimate of price impact. JEL classification number G10 G11 G12 Keywords Volume-Weighted Average Price Price impact Stock Returns 1 Introduction All transactions incur costs which can be classified as explicit or implicit. Explicit costs include all direct costs of trading . brokerage commission taxes and duties and etc. Explicit transaction costs are in general easy to measure and find a benchmark for reference. Implicit costs on the other 1 The Chinese University of Hong Kong and Celestial Asia Securities Holdings Hong Kong. 2 Deutsche Bank. Article Info Received February 11 2013. Revised March 16 2013 Published online July 1 2013 328 Stock Returns with Price Impact hand are much more difficult to measure and there is no obvious benchmark for reference. 26 categorizes the implicit transaction costs into the execution cost and the opportunity cost. While the opportunity cost is affected by the non-executed position relative to the target position the execution cost is mainly affected by the execution price. There are attempts to quantify price impact which is the major part of the implicit execution cost using various techniques in the literature. 21 summarize various techniques for measuring trading costs. 1 present a calibration procedure to estimate pre-trade price impact for equity trades on large-cap stocks. 6 propose two methods to .

• Đầu tư Chứng khoán
• Volume weighted average price
• Price impact
• Stock returns
• Stock returns with price impact
• Institutional investors