کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959559 929322 2012 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Delegated trading and the speed of adjustment in security prices
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Delegated trading and the speed of adjustment in security prices
چکیده انگلیسی

Institutional trading arrangements often involve the portfolio manager delegating the task of trade execution to a separate division within the firm. We model the agency conflict that arises in this setting and show that optimal performance benchmarks often create an incentive to execute orders contrary to concurrent information flow. We hypothesize that aggregate contrarian trading resulting from widespread application of such benchmarks leads to delays in the assimilation of information in security prices. Using institutional trading data, we document the hypothesized contrarian trading pattern and relate the pattern to price-adjustment delays in the response of individual stocks to index futures returns. The evidence supports the assertion that delegated institutional trading contributes to these delays.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 103, Issue 2, February 2012, Pages 294–307
نویسندگان
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