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Forecasting market impact costs and identifying expensive trades
10 references·0 citing·43 second hop
Forecasting market impact costs and identifying expensive trades (2008)Forecasting market impact costs and ident…Market impact costs of institutional equity trades (2007)Market impact costs of instit…Direct Estimation of Equity Market Impact (2005)Direct Estimation of Equity M…The Cost of Institutional Equity Trades (1998)The Cost of Institutional Equ…Institutional Equity Trading Costs: NYSE Versus Nasdaq (1997)Institutional Equity Trading …The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects (1996)The Upstairs Market for Large…Commonality in the determinants of expected stock returns (1996)Commonality in the determinan…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Best Execution (1993)Best ExecutionCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Continuous Auctions and Insider Trading (1985)Efficient Capital Markets: II (1991)Inferring Trade Direction from Intraday Data (1991)Presidential Address: Friction (2000)The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers (2000)Stealth-trading: Which traders' trades move stock prices? (2001)Does the Stock Market Rationally Reflect Fundamental Values? (1986)Liquidity and Market Structure (1988)Institutional trading and alternative trading systems (2003)Trading Costs and Returns for Us Equities: The Evidence from Daily Data (2003)An adaptive portfolio trading system: A risk-return portfolio optimization using recurrent reinforcement learning with expected maximum drawdown (2017)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets (1997)What Drives Firm‐Level Stock Returns? (2002)Replicating Anomalies (2018)The Cost of Transacting (1968)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)The journal of financial economics (1993)Mutual Fund Performance: Does Fund Size Matter? (1999)Implications of Transaction Costs for the Post–Earnings Announcement Drift (2008)The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)Estimating the components of the bid/ask spread (1988)Transactions costs and investment style: an inter-exchange analysis of institutional equity trades (1997)Are Momentum Profits Robust to Trading Costs? (2004)Pricing the commonality across alternative measures of liquidity (2007)Price, trade size, and information in securities markets (1987)Measuring the Information Content of Stock Trades (1991)The Information Content of Institutional Trades on the London Stock Exchange (2005)Conditional Indexation in Defined Benefit Pension Plans in the Netherlands (2007)Genetic programming optimization for a sentiment feedback strength based trading strategy (2017)Optimal execution of portfolio transactions (2001)Optimization Methods in Finance (2006)Market impact and trading profile of hidden orders in stock markets (2009)Market Microstructure Invariance: Empirical Hypotheses (2016)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Equity trading by institutional investors: To cross or not to cross? (2006)Transaction Cost Analysis (2008)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1996Commonality in the determinants of expected stock returns1,066 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 1996The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects601 cited
  • 2005Direct Estimation of Equity Market Impact363 cited
  • 1998The Cost of Institutional Equity Trades260 cited
  • 1997Institutional Equity Trading Costs: NYSE Versus Nasdaq201 cited
  • 1993Best Execution74 cited
  • 2007Market impact costs of institutional equity trades66 cited

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