haku: @author Brennan, M. J. / yhteensä: 26
viite: 4 / 26
| Tekijä: | Brennan, M. J. Subrahmanyam, A. |
| Otsikko: | The determinants of average trade size. |
| Lehti: | Journal of Business
1998 : JAN, VOL. 71:1, p. 1-25 |
| Asiasana: | INVESTMENT ANALYSIS FINANCIAL MARKETS SHARE PRICES |
| Kieli: | eng |
| Tiivistelmä: | The authors note that a central assumption is that investors trade strategically, taking account of the effect of their trades on prices, and use a simultaneous equations approach motivated by theoretical analysis to test this assumption empirically. The results point to a strong and negative cross-sectional relation between the average trade size and estimated fixed and variable costs of transacting per share, consistent with strategic trading. They also find that average trade size is positively related to return volatility, the standard deviation of trading volume, and the proportion of shares held by insitutional investors. |
SCIMA