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 trader-specific 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.