摘要：This paper is the first to analyze market impact and execution costs of equity trading
by a pension fund. We find that, on average, these costs are nonnegligible. Average
market impact costs equal 20 basis points for buys and 30 basis points for sells; average
execution costs equal 27 basis points and 38 basis points, respectively. Furthermore, we
show that volatility and momentum have considerable influence on market impact costs.
Other important determinants of these costs are trade type (agency, single, or principal),
trading venue, and industry sector. Additionally, we find that the timing of trades plays a
substantial role in explaining trading costs. The moment of the day, as well as the day of
the week and the period of the month significantly affect the costs of trading. Moreover,
we also establish a cost-risk trade-off: the longer it takes to execute a trade, the lower the
expected market impact costs but the higher the volatility of these costs.
