Market impact costs of institutional equity trades

This paper is the first to analyze market impact and execution costs of equity trading by a pension fund. We find that, on average, these costs are nonnegligible. Average market impact costs equal 20 basis points for buys and 30 basis points for sells; average execution costs equal 27 basis points and 38 basis points, respectively. Furthermore, we show that relative trade size and market capitalization, commonly found to play an important role, have only limited influence on the market impact of a trade. The most important determinants of the price effect are momentum, stock price volatility, investment style, trade type (agency, single, or principal), and trading venue

Cheap versus expensive trades: Assessing the determinants of market impact costs

This paper assesses the determinants of market impact costs of institutional equity trades, using unique data from the world's second largest pension fund. We allow the impact of trade characteristics and market conditions on trading costs to depend on the level of trading costs itself and establish significant differences in the responses of cheaper and more expensive trades. We explain the distinct responses from differences in information content and demand for liquidity between trades with high and low trading costs. Finally, to illustrate the practical relevance of the approach, we use our method to forecast future trading costs

О целокупном понимании и диалоге

Стаття є спробою довести можливість і необхідність розмежування цілісного розуміння та діалогу. Межа між ними співпадає з межею між цілісною особистістю та ізольованим індивідом. Цілісне розуміння є сакральним джерелом філології.This article presents an attempt to prove that it is possible and necessary to differentiate between the integral understanding and the dialogue. The border between them coincides with the border between the integral personality and the isolated individual. Integral understanding is the sacred source of the philology

Impact of bank competition on the interest rate pass-through in the euro area

This paper analyses the impact of loan market competition on the interest rates applied by euro area banks to loans and deposits during the 1994-2004 period, using a novel measure of competition called the Boone indicator. We find evidence that stronger competition implies significantly lower spreads between bank and market interest rates for most loan market products, in line with expectations. Using an error correction model (ECM) approach to measure the effect of competition on the pass-through of market rates to bank interest rates, we likewise find that banks tend to price their loans more in accordance with the market in countries where competitive pressures are stronger. Further, where loan market competition is stronger, we observe larger bank spreads (implying lower bank interest rates) on current account and time deposits. This would suggest that the competitive pressure is heavier in the loan market than in the deposit markets, so that banks under competition compensate for their reduction in loan market income by lowering their deposit rates. We observe also that bank interest rates in more competitive markets respond more strongly to changes in market interest rates. These findings have important monetary policy implications, as they suggest that measures to enhance competition in the European banking sector will tend to render the monetary policy transmission mechanism more effective.

Культурно-мистецьке життя Полтавщини середини ХІХ – початку ХХ ст. у дзеркалі періодики

Alla Lytvynenko, PhD in Arts Korolenko State Teachers’ Training Institute, Poltava city “Cultural and Artistic Life in Poltava region in mid XIX – beginning of the XX centuries as reflected by the contemporary press”. The article presents findings of the first hand information analysis undertaken on the basis of the local and central press. The analysis focuses on the cultural and artistic life of Poltava region in the mid XIX – beginning of the XX century and provides evidence of high social, cultural and artistic status of the region maintained in this period

A new approach to measuring competition in the loan markets of the Euro area.

This paper is the first that applies a recently introduced measure of competition, the Boone indicator, to the banking industry. This approach is able to measure competition of bank market segments, such as the loan market, whereas many well-known measures of competition can consider the entire banking market only. A caveat of the Boone-indicator may be that it assumes that banks generally pass on at least part of their efficiency gains to their clients. Like most other model-based measures, this approach ignores differences in bank product quality and design, as well as the attractiveness of innovations. We measure competition on the lending markets in the five major EU countries as well as, for comparison, the UK, the US and Japan. Bearing the mentioned caveats in mind, our findings indicate that over the period 1994-2004 the US had the most competitive loan market, whereas overall loan markets in Germany and Spain were among the best competitive in the EU. The Netherlands occupied a more intermediate position, whereas in Italy competition declined significantly over time. The French, Japanese and UK loan markets were generally less competitive. Turning to competition among specific types of banks, commercial banks tend to be more competitive, particularly in Germany and the US, than savings and cooperative banks.

Комп’ютерні прилади та інформаційні технології для прецизійного землеробства

Наукове повідомлення на засіданні Президії НАН України 28 березня 2012 року

Herd behaviour of pension funds by asset class

Hervorming Sociale Regelgevin

X-efficiency and economies of scale in pension fund administration and investment

Pension funds’ operating costs come at the cost of benefits, so it is crucial for pension funds to operate at the lowest cost possible. In practice, we observe substantial differences in costs per member for Dutch pension funds, both across and within size classes. This paper discusses scale inefficiency and X-inefficiency using various approaches and models, based on a unique supervisory data set, which distinguishes between administrative and investment costs. Our estimates show large economies of scale for pension fund administrations, but modest diseconomies of scale for investment activities. We also found that many pension funds have substantial X-inefficiencies for both administrative and investment activities. The two kinds of inefficiency differ across types of pension funds. Therefore, most pension funds should be able to improve their cost performance, and hence increase pension benefits