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

Towards an artificial therapy assistant: Measuring excessive stress from speech

The measurement of (excessive) stress is still a challenging endeavor. Most tools rely on either introspection or expert opinion and are, therefore, often less reliable or a burden on the patient. An objective method could relieve these problems and, consequently, assist diagnostics. Speech was considered an excellent candidate for an objective, unobtrusive measure of emotion. True stress was successfully induced, using two storytelling\ud sessions performed by 25 patients suffering from a stress disorder. When reading either a happy or a sad story, different stress levels were reported using the Subjective Unit of Distress (SUD). A linear regression model consisting of the high-frequency energy, pitch, and zero crossings of the speech signal was able to explain 70% of the variance in the subjectively reported stress. The results demonstrate the feasibility of an objective measurement of stress in speech. As such, the foundation for an Artificial Therapeutic Agent is laid, capable of assisting therapists through an objective measurement of experienced stress

Learning Opportunities And Learning Behaviours Of Small Business Starters: Relations With Goal Achievement, Skill Development, And Satisfaction

Learning is a vital issue for small business starters, contributing to short term and long term business performance, as well as to personal development. This study investigates when and how small business starters learn. It specifies the situations that offer learning opportunities, as well as the learning behaviours that small business starters can employ in order to learn from these opportunities. In a cross-sectional, quantitative study of recently started small business founders, learning opportunities and learning behaviours are related to three outcome measures: a performance outcome (goal achievement), a personal growth outcome (skill development), and an affective evaluation outcome (satisfaction). The results show the importance of learning opportunities and learning behaviours in influencing these outcome variables, albeit not always in the directions we hypothesized

User-centered digital preservation of multimedia

Everything expressed by humans in whatever form, arouses emotions in every one, who witnesses that expression. Those emotions are dependent on the witness and vary over time. For instance, an expression like "I'm now going to smoke a cigar in my office" uttered today brings about other emotions than 10 years ago. To really preserve (digital multimedia) expressions, the different kinds of emotions it arouses have to be preserved

Making the news interesting: understanding the relationship between familiarity and interest

News feeds are an important element of information encountering, feeding our (new) interests but also leading to a state of information overload. Current solutions often select information similar to the user's interests. However, long-term interest in one topic, and being highly familiar with that topic, does not necessarily imply an actual interest response will occur when more of the same topic is selected. This study explores how important familiarity is in predicting an interest response. In a study with 30 subjects, interest was manipulated by topical familiarity using novel stimuli from a popular news source. This study shows, within this context, familiarity is moderately important for an interest response: familiarity does indeed make the news interesting, but only to a certain extent. The results set a baseline for predicting interest during information encountering, indicating familiarity is important, but not the only influential variable a system should consider when selecting information for users