We analyze the location of stock trading for firms with a US cross-listing. The fraction of trading that occurs in the United States tends to be larger for companies from countries that are geographically close to the United States and feature low financial development and poor insider trading protection. For companies based in developed countries, trading volume in the United States is larger ...

We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: (1) longer horizon risk factors (value, growth, etc.) increase noise trades and trading costs; ...

We examine the optimal trading strategy for an investment fund which wishes to maintain assets two assets in fixed proportions, e.g. 60/40 in stocks and bonds. Transactions costs are assumed to be proportional to the amount of each asset traded. We show that the optimal policy specifies a band about the target stock proportion. As long as the actual stock/bond ratio remains inside this band, no...

This paper provides the first detailed examination of the trading activities of active Australian institutional equity managers. Employing a unique database of daily transactions data, the study investigates the trading behaviour of active equity managers for the calendar year 2001. This research has two principal objectives – (1) to provide descriptive statistics relating to trade volume, freq...

We explore two main questions. First, can two markets for a company’s shares coexist and, if so, what determines the distribution of trading volume across them? For firms cross-listed in the U.S. we find that in most cases U.S. trading is a significant fraction of total volume, and tends to be larger for companies based in countries that are geographically close, with low financial development ...

The literature nds that investors increase portfolio turnover following high returns, explaining it by either overcon dence or skilled trading. This paper develops a theoretical model and shows empirically that team-managed funds trade less after good performance than single-managed funds. The magnitude of this di erential increases with team size. Moreover, the change from singleto team-manage...

We examine the optimal trading strategy for an investment fund which in the absence of transactions costs would like to maintain assets in exogenously fixed proportions, e.g. 60/30/10 in stocks, bonds and cash. Transactions costs are assumed to be proportional, but may differ with buying and selling, and may include a (positive) capital gains tax component. We show that the optimal policy invol...

This study examines the relationships between the herding of various investor groups and trading noise in the Taiwan stock market to determine whether any of the investor groups tend to herd rationally. The study uses a unique and comprehensive data set on intraday transactions and limit order books of the Taiwan Stock Exchange (TWSE). We calculate the high-frequency herding measures and tradin...

We assemble the dates of announcement and actual introduction of electronic trading by the leading exchange of 120 countries to examine the long term and medium term impact of automation. Estimates from dividend growth model as well as international CAPM suggest a significant decline in expected returns after the introduction of electronic trading in the world’s equity markets, especially in th...