Transactions costs and investment style: an inter-exchange analysis of institutional equity trades

This paper examines the magnitude and determinants of transactions costs for a sample of institutional traders with different investment styles. Using order-level data for recent equity transactions totaling 83 billion, we find that trading costs are economically significant and increase with trade difficulty. In addition, costs vary with traderspecific factors such as investment style and order submission strategy, as well as stock-specific factors such as exchange listing. We find evidence that institutional trades in exchange-listed stocks have lower costs than in comparable Nasdaq stocks.