UNIVERSITY OF ILLINOIS LIBRARY AT URBANA-CHAMPAIGN BOOKSTACKS

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2 UNIVERSITY OF ILLINOIS LIBRARY AT URBANA-CHAMPAIGN BOOKSTACKS

3 Digitized by the Internet Archive in 2011 with funding frm University f Illinis Urbn-Chmpign

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5 Fculty Wrking Pper B :167 PY > Institutinl Trdes nd Intr-Dy Stck Price Behvir Luis K. C. Chn Deprtment f Finnce University f Illinis Jsef Lknishk Deprtment f Finnce University f Illinis The Librry f the NOV i University t tht& d Ortn-Chmpigm Bureu f Ecnmic nd Business Reserch Cllege f Cmmerce nd Business Administrtin University f Illinis t Urbn-Chmpign

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7 BEBR FACULTY WORKING PAPER NO Cllege f Cmmerce nd Business Administrtin University f Illinis t Urbn-Chmpign Octber 1991 Institutinl Trdes nd Intr-Dy Stck Price Behvir Luis K. C. Chn Deprtment f Finnce Jsef Lknishk Deprtment f Finnce

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9 Institutinl Trdes nd Intr-Dy Stck Price Behvir Luis K. C. Chn Jsef Lknishk Octber 1991 Bth uthrs re frm the Cllege f Cmmerce, University f Biinis t Urbn-Chmpign, Chmpign, IL We thnk Gil Beebwer nd Vsnt Kmth frm SEI fr prviding us with the dt nd their insightful ides n vrius spects f trding. We ls pprecite the helpful suggestins frm Jy Ritter nd Andrei Shleifer, nd the reserch ssistnce f Rhit Gupt nd Peng Tu. This pper hs been presented t the Cnference n Security Mrkets Trnsctin Csts t Vnderbilt University, the NBER Summer Cnference n Behvirl Finnce, the Amsterdm Institute f Finnce nd t the University f Wiscnsin- Mdisn. Cmputing supprt ws prvided by the Ntinl Center fr Super-cmputing Applictins., University f Illinis t Urbn-Chmpign.

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11 Abstrct This pper exmines the effects f institutinl trding n stck prices, using unique dt set. This dt set recrds ll trnsctins, bth smll nd lrge, mde by 7 lrge institutinl mney mngement firms. trde, re identified. The directin f ech trde, s well s the identity f the mnger behind ech Anlysis f the price impct f institutinl trdes sheds light n the elsticity f the demnd fr stcks, nd n the mgnitude f the cst f executing trnsctins. While ur findings indicte tht institutinl purchses nd sles f stck re sscited with sme pressure n prices, the mgnitude f the price impct is much smller thn in previus reserch. We ls dcument mrked symmetry between the price impct f buys versus sells, nd prvide severl cnjectures s t their underlying differences. While the mrket impct f trde is relted t mrket cpitliztin nd reltive trde size, their imprtnce ples in cmprisn t the influence f the mney mnger wh is behind the trde.

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13 Trding n equity mrkets hs becme incresingly dminted by institutinl investrs. It hs been estimted tht in 1989 but seventy percent f trding vlume n the New Yrk Stck Exchnge is ccunted fr by member firms nd institutinl investrs (Schwrtz nd Shpir (1990)). In light f their imprtnce, the impct f institutinl trding n stck prices hs been the subject f incresed ttentin. It hs been suggested, fr exmple, tht the incresed cncentrtin f trding int institutinl hnds my be ptentilly destbilizing by incresing intr-dy price vltility (Reprt fr the New Yrk Stck Exchnge's Pnel n Mrket Vltility nd Investr Cnfidence, 1990; Schwrtz 1991). The respnsiveness f prices t buying r selling pressure depends, in generl, upn the fetures f the mrket mechnism whereby trdes re crried ut. These fetures include, mngst ther things, whether trding ccurs in cntinuus uctin r peridic cll mrket, whether rders re submitted s mrket r limit rders, nd whether rders re hndled by designted specilist r by cmpetitive mrket-mkers. Mrkets with mechnisms which fcilitte the prvisin f liquidity will, ther things equl, exhibit less price vltility in respnse t rder imblnces (Hrris (1990)). Hence, n evlutin f the mrket impct f institutinl trdes is f cncern t plicymkers, reserchers nd exchnge fficils. It is ls f gret interest t institutinl investrs themselves t evlute the mrket impct f their wn trdes. Reserchers,in evluting the prfitbility f vrius trding rules ls find it necessry t mesure the csts f trding. Numerus studies dcument the inbility f prtfli mngers t ut-perfrm vrius pssive benchmrks, despite the cnsiderble effrt t nlyze nd select stcks (Brinsn, Singer nd Beebwer (1991), Fm (1991)). be due t the cstliness f ctully executing trdes (Perld (1988)). This "implementtin shrtfll" my The djustment f stck prices t buying r selling pressure cnstitutes ne frm f trding cst. High trding csts frm demnding immedicy, fr exmple, my ffset the benefits f dvnce infrmtin r trding rule, yielding inferir perfrmnce. Indeed, the hevy expenditure f resurces by institutins n trding fcilities, persnnel nd cmputerized trding systems suggests tht the executin csts f institutinl trdes might nt be negligible nd, mrever, tht they re ptentilly cntrllble (Schwrtz nd Wbitcmb (1988), Bdurth nd Quinn (1990)). Such csts re likely t vry crss mngers with different investment r trding styles, nd depend upn the size r difficulty f the trnsctin. Acdemic interest in the effects f institutinl trding hs fcussed n blck trdes (Krus nd Stll (1972), Hlthusen, Leftwich nd Myers (1987, 1990), Bll nd Finn (1989)). These studies cmpre the price t which lrge blck trnsctin is executed either with the prices f djcent trnsctins in the sme stck, r with clsing prices. In frictinless mrket with n infrmtin effects, the mrket price shuld nt be ffected by trdes. Any impct f trdes n prices is thus cnsistent with the presence f new infrmtin cnveyed by lrge trnsctins (Kyle (1985), Esley nd

14 2 O'Hr (1987)), r with the existence f vrius kinds f mrket frictins. Such frictins might reflect the existence f different frms f liquidity csts, including the csts f prcessing rders (Demsetz (1968)) r cmpenstin fr inventry imblnces (Amihud nd Mendelsn (1980), H nd Stll (1981). Alterntively the mrket price f stck my be ffected by shifts in excess demnd becuse investrs my nt recgnize the existence f clse substitutes fr n individul stck. Mesuring the impct f institutinl trdes n prices thus llws n evlutin f the imprtnce f these different effects n the flw demnd/supply schedules fr stcks. This pper exmines the effects f institutinl trding n stck prices, using unique dt set. This dt set reprts ll trnsctins mde by smple f 7 lrge institutinl mney mngement firms ver the curse f tw nd hlf yers. Ech trnsctin is explicitly identified s purchse r sle by the mnger in questin; the mney mnger sscited with ech trde is ls identified. Their trdes number mre thn millin trnsctins, bth smll nd lrge, invlving issues listed n the New Yrk nd Americn Stck Exchnges. In ll, but 5 percent f the dllr vlue trded n these tw exchnges is ccunted fr. The impct f institutinl trdes is evluted by cmpring the price t which the trnsctin is executed with vriety f benchmrk price mesures n the dte f the trde. Trcking the intr-dy behvir f prices rund institutinl trdes llws n evlutin f their price impct f institutinl trdes nd ids in disentngling lterntive explntins fr the surces f such mrket impct. The distinctive fetures f ur dt set permit severl fresh new insights n the price impct f institutinl trdes in generl. Our findings suggest tht bth institutinl purchses nd sles re ccmpnied by sme price pressure reltive t the pening price n the trde dte. mrked symmetry between the behvir f prices fter purchses nd fter sles. Hwever, there is Subsequent t buys, the stck price cntinues t pprecite, while the price lmst fully recvers fter sles t its prir level: s result, the principl-weighted verge price chnge frm the pen t the clse n the trde dy fr buys is 0.4 percent, while the crrespnding verge price chnge fr sells is percent. This symmetry is intriguing, nd we prvide severl cnjectures s t its underlying surce, relted t the effects f shrt-run liquidity csts, imperfect substitutin between stcks, infrmtin effects nd mney mngers' behvir. The price impct f buy nd sell trnsctins is relted t the mrket cpitliztin f the stck, nd t the reltive difficulty f the trde (mesured s the principl vlue reltive t nrml dily trding vlume in the stck )< A much mre dminnt influence n the trde's price impct, hwever, is the identity f the mney mnger wh is behind the trde: ur results suggest cnsiderble differences crss mney mngers with respect t their executin bility. While ur findings indicte tht institutinl trdes re sscited with sme impct n stck prices, the mgnitude f the effect ples in cmprisn t the figures reprted by previus uthrs.

15 Krus nd Stll (1972), fr exmple, find tht the permnent price chnge using clsing prices fr buys is 1.41%, while ur findings suggest tht the pen-t-clse verge price chnge fr buys is nly 0.4 percent. The lw mgnitude f the price impct ls hs strng implictins fr the much-debted issue f the mrket impct cst f executing trdes. A mnger wh gives up nly n eighth f pint ech wy wuld incur rund-trip cst f 0.68 percent n typicl stck. In cntrst, we re hrd-pressed t find rund-trip mrket impct cst, in the ggregte ver ll trdes, exceeding 0.6 percent. The mdest estimtes f mrket impct csts ttest t the keenly cmpetitive nture f the mney mngement industry. The reminder f the pper is rgnized s fllws. Sectin I prvides review f the literture nd utlines lterntive explntins fr the price impct f trdes. Sectin II describes the dt nd presents summry sttistics n the chrcteristics f institutinl trdes. The empiricl results re described in sectin HI. Sectin IV reltes ur results n the price impct f trdes t the questin f mesuring the csts f executing trdes. A finl sectin prvides the cnclusins. I. Literture Review Severl studies hve explred the behvir f stck prices rund lrge trdes. These studies in generl fcussed n blck trdes (trdes ver 10,000 shres) nd used the tick test t clssify trdes s buyer r seller initited. Blck trdes t price belw (bve) the price prir t the blck were cnsidered t be seller (buyer) initited. Zer tick trdes were in generl nt clssified. Three ptentil explntins fr price chnges triggered by lrge trdes hve been suggested in the literture: (i) shrt run liquidity csts, (ii) imperfect substitutin, nd (iii) infrmtin effects. Shrt run liquidity csts rise becuse f the difficulty in finding immeditely willing buyers r sellers. This results in temprry buying r selling pressure tht trnsltes int price cncessin. In mny lrge trdes, blck trders prvide sme f the liquidity, nd re cmpensted t lest in prt by price cncessin. A timely return f prices fllwing trde t the prir equilibrium is cnsistent with this explntin. Prices will ls chnge rund lrge trdes if there re n perfect substitutes fr prticulr stck. Hence, seller will fce dwnwrd slping demnd curve nd buyer n upwrd slping supply curve. Thus, the seller in lrge trnsctin will hve t ffer discunt t induce buyers t bsrb the extr shres. Similrly, premium hs t be ffered by the buyer in lrge trnsctin. It stnds t

16 resn tht the slpe f the demnd nd supply curves will depend n the length f the hrizn, lthugh 4 this pint hs nt been discussed in the literture. The imperfect substitutin hypthesis is cnsistent with permnent price chnges r much slwer reversls fllwing the trde, cmpred t the predictins f the shrt run liquidity hypthesis. Permnent price chnges cused by lrge trdes re ls expected if the trdes cnvey privte infrmtin which is impunded int the new equilibrium price subsequent t the trde. Infrmed sellers believe tht the stck is verpriced, nd infrmed buyers tht the stck is underpriced. The infrmtin effect depends n the identity f the buyer r seller (infrmed versus uninfrmed) nd in mny studies the size f trnsctin ws used s prxy fr the infrmtin cntent f the trde. Prir evidence n the price impct f blck trdes includes ppers by Krus nd Stl! (1972), Hlthusen, Leftwich, nd Myers (1987, 1990), nd Bll nd Finn (1989). Krus nd Stll (1972) fund tht the blck price fr sells ws substntilly belw the price prir t the blck. Hwever, subsequent t the blck there ws price rise f.71 percent. Overll, they viewed their evidence fr sells s supprting the shrt run liquidity hypthesis. Fr buys, Krus nd Stll bserved tht the trde price ws substntilly bve prir prices. Hwever, in cntrst t sells, the price increse seems t be permnent, result cnsistent with the infrmtin hypthesis. nted by Hlthusen, Leftwich, nd Myers (1987). The symmetry between buys nd sells ws ls Bth ppers ls explred the sscitin between price effects nd the size f the blck. In generl, the sscitin ws fund t be strnger fr sells thn fr buys. Hlthusen, Leftwich, nd Myers (1990) btined results tht re smewht different frm thse in their erlier pper nd in Krus nd Stll (1972). They fund tht there is substntil permnent effect sscited with blck trdes, nt nly fr buyer initited trdes, but ls fr seller initited trdes. Mrever, the effect is relted t the size f the trnsctin fr bth types f trdes. Bll nd Finn (1989) utilize dt frm the Sydney Stck Exchnge ( nn-deler uctin mrket) nd fund substntil permnent effects fr buys nd sells. They interpret their results s cnsistent with the infrmtin hypthesis. All f the bve studies relied n the tick test t clssify trdes s buys r sells. The ccurcy f this prcedure ws explred by Hlthusen, Leftwich, nd Myers (1987) wh nlyzed 104 trdes tht

17 5 were knwn t be buyer initited. They fund tht the tick rule prperly clssified nly 52.8 percent f the trdes. A mre recent pper by Lee nd Redy (1991) pints ut the vrius prblems sscited with trde-clssifictin rules tht re bsed n prir prices nd qute dt. Our pper vids the clssifictin prblem becuse we hve n explicit buy/sell indictr fr ech trnsctin. Other studies, such s Schles (1972) nd Mikkelsn nd Prtch (1985) tht exmined secndry fferings, nd Asquith nd Mullins (1986) nd Lderer, Cney nd Vn Drunen (1991) tht exmined sesned equity fferings, bserved price drp upn nnuncement. This price drp is cnsistent with infrmtin effects r dwnwrd slping demnd curves. The pper by Lderer, Cney, nd Drunen (1991) mkes specil effrt t distinguish between the tw pssible effects. They shw tht dverse infrmtin cnnt ccunt fr the drp in price, nd cnclude tht the bserved price chnges reflect dwnwrd slping demnd curves. In smewht different cntext, Hrris nd Gurel (1986) nd Shleifer (1986) investigte the price behvir f stcks upn their dditin t the Stndrd nd Pr's 500 Index. Bth studies find substntil psitive bnrml returns t the nnuncement dte f the event. Their findings re cnsistent with dwnwrd slping demnd curves, t lest ver shrt hrizns. Trnsctin Dt This study utilizes unique dt set which cntins trnsctins mde by 7 lrge mney mngement firms. The perid cvered is tw nd hlf yers, frm July 1986 until the end f The dt set identifies ech trnsctin s purchse r sle, s well s the identity f the mney mnger behind ech f the trdes. This enbles us t cnduct cmprisn crss mney mngers. Such cmprisn cn shed sme light n the determinnts f executin csts. The dt d nt cntin time stmp nd hence we cnnt identify the prices immeditely befre nd fter the trde. Hwever, t understnd hw trdes re being executed, wht is relevnt in mny cses is nt wht hppened prir t the trde, but the mrket cnditins when the decisin t trde ws ctully mde by the prtfli mnger (which culd be cnsiderble munt f time erlier thn the trde). Such infrmtin f curse is nt in generl vilble. Tble I prvides sme descriptin f ur smple. We nlyze ttl f 1,2,87 trnsctins nd dllr vlue trded f 87.6 billin dllrs. This is very lrge dt bse when cmpred t

18 6 previus studies in this re, nd ccunts fr but 5 percent f the dllr vlue trded n NYSE nd AMEX. Cnsistent with recent pper by Lknishk, Shleifer, Vishny, nd Thler (1991), mst f the trding ctivity f institutins is in the lrgest stcks. The tp decile by mrket cpitliztin ccunts fr 48 percent f the trdes nd 61 percent f the dllr vlue trded. In cntrst, the bttm 40 percent f the stcks by mrket cpitliztin ccunt fr.7 percent f the trdes nd nly 0.6 percent f the dllr vlue trded. Previus studies, t cpture institutinl trnsctins, fcused n trdes tht exceed 10,000 shres. Our results indicte tht mny f the institutinl trdes re ctully quite smll. Tble II presents the distributin f vrius trde sttistics fr buys nd sells. The results in Pnel A re fr the number f shres per trde. The verge number f shres per trde is nly 8400 fr buys nd 9100 fr sells, nd the medins re 2400 nd 2700 fr buys nd sells, respectively. Mrever, 25 percent f the trdes invlve less thn 1000 shres, nd nly but 20 percent f the trdes invlve mre thn 10,000 shres. The surprisingly smll size f typicl trde is nt cused by ur smple cmpsitin. If nything, ur dt cmes frm lrge mney mngers which re expected t be invlved in lrger trdes. The smll trde sizes reltive t typicl hldings re cnsistent with mngers trding in such wy s t reduce the influence f: (1) shrt run liquidity csts, r (2) infrmtin effects which re relted t the trnsctin size. Previus studies hve ls fund tht the number f blcks trded n dwn tick substntilly exceeds the number f blcks trded n n uptick. One explntin fr the phenmenn is tht it is esier t sell lrge munts thn t buy lrge munts. Therefre, we expect t find tht the sells re lrger thn the crrespnding purchses. This is indeed the cse, lthugh the differences re quite smll. Fr exmple, in the lrgest stcks, the men number f shres trded is 8700 nd 8200 fr buys nd sells, respectively. 1 Pnel B (Tble II) presents the distributin f the dllr vlue f trdes. The medin trde is less thn $100,000 nd nly but 6 percent f the trdes exceed $1,000,000. As the cmpny size increses, the trde gets lrge. In Pnel C, we reprt the distributin f trde size reltive t nrml dily trding vlume, the medin is nly 2 percent indicting tht typicl institutinl trde is nt mjr event. Hwever, s the size f the cmpnies decreses, the typicl institutinl trde becmes

19 7 mre significnt event. Fr exmple, the medin fr buys is 0.24 in grup 1, reltive t 0.01 in grup 4. The lrgest 1 percent f trdes re mny times lrger thn the typicl dily vlume in smll stcks, wheres in the lrgest stcks such trdes re typiclly less thn 40 percent f the dily vlume. Mny studies fcused n trdes which were lrger thn the typicl trding vlume. Our results indicte tht such trdes re very uncmmn t lest in the mre liquid stcks where mst f the institutinl hldings re cncentrted. 1H. Empiricl Results 1. The Price Impct f Institutinl Purchses nd Sles Tble summrizes the price impct f institutinl purchses (pnel ()) nd institutinl sles (pnel (b)) f tgether with the percentge cmmissin cst. Fr ech trnsctin, the percentge return is clculted frm the dy's pening price t the trde, nd frm the trde t the clsing price; the price chnge frm the pening t the clsing is ls reprted. These crrespnd, respectively, t the ttl, temprry nd permnent price effects discussed in Hlthusen et l. (1987). Further, t determine whether typicl institutinl trde is fundmentlly distinguishble frm ther trdes, we cmpre the trnsctin price in stck t three intr-dy verge prices: the vlume-weighted verge f ll trnsctin prices in the sme stck n the trde dte; the vlume-weighted verge btined when the trde under cnsidertin is excluded, nd the simple verge f ll trnsctin prices in the sme stck n the trde dte. In the subsequent discussin, we fcus n the principl-weighted verge f ech price impct mesure. This fllws the nrm in the investment industry, nd permits evlutin f the verll dllr munt f the price impct. Prices fr institutinl purchses re, n principl-weighted verge bsis, 0.22 percent higher thn the pening price n the trde dte. This difference munts t eight cents per shre, less thn ne tick, n stck with price f $6.50 (the verge price ver ur smple perid). Severl fctrs culd ccunt fr the price increse frm the pen t the trde. In prt, the rise reflects the verge dily upwrd drift in prices, lthugh this cmpnent is srll-the men ttl percentge ch nge frm the pen t the clse n the Stndrd nd Pr's Cmpsite Index ver this perid is 0.06 percent. On the ther hnd, the increse is cnsistent with the shrt-run liquidity cst

20 8 hypthesis. The chnge frm the pening t the trde my simply reflect n upwrd mvement t the sk price fr institutinl purchses. Alterntively this price increse might reflect fvrble infrmtin. A finl interprettin f the price mvement frm the pen t the trde recgnizes tht institutinl mney mngers my be pssively respnding t chnges in the stck price befre inititing trnsctins. In prticulr, increses in the stck price frm the pening (perhps s result f gd news) my prmpt institutins t begin t purchse. Subsequent t the purchse, there is further principl-weighted verge price increse f 0.12 percent frm the trde t the clsing price. This pst-trde behvir prvides ne bsis fr discriminting between the different ccunts described bve. The price cntinutin fter the purchse is shrply t s with the reversl predicted by the shrt-run liquidity hypthesis. On the ther hnd, the reversl my tke plce ver perid f mre thn ne trding dy. A mre grdul djustment f prices fter trde is cnsistent with the hypthesis tht individul stcks re imperfect substitutes. Permnent effects n prices re ls predicted if new infrmtin is cnveyed by trdes. Anther pssibility is tht the price pressure fter the trde is result f fllw-up trdes in the sme stck. These dditinl trdes might be initited by the sme mnger s prt f lrger trding prgrm, r by ther mngers, t the extent tht they engge in "herding" behvir. Fr institutinl purchses, the permnent principl-weighted price chnge frm the pen t the clse is 0.4 percent. The simple men price chnge is ls very similr, t 0.26 percent. While this is much lrger thn the verge pen-t-clse return f 0.06 percent fr the Stndrd nd Pr's Cmpsite, it is nnetheless cnsiderbly smller thn previus estimtes f the price impct f blck purchses. Krus nd Stll (1972) fund tht the price fr buy blcks is n verge 0.75 percent higher thn the prir price (1.50% higher thn the previus clsing price), fllwed by decline f 0.09 percent t the dy's clsing price. Hlthusen et l. (1990) reprt tht the return frm the price prir t the blck t the trde price is 1.18 percent, which is subsequently reversed by decline f 0.1 percent t yield permnent price chnge f 1.05 percent. These studies, hwever, fcussed nly n lrge blck trnsctins. In dditin, their relince n the tick test t infer trde directin results in the exclusin f blcks sscited with zer price ticks. It is ls quite prbble tht the remining trnsctins (thse sscited with n up- r dwn tick) represent trdes initited by reltively less ptient investrs (i.e.

21 9 thse willing t py lrger price cncessin in exchnge fr greter immedicy). In this respect, the verge price impct is likely t be lrger in the cse f purchses r sles selected n the bsis f nnzer tick, cmpred t purchses r sles in generl (whether initited by the investr r nt). It is thus nt surprising tht lrger price effects re dcumented in the erlier ppers. 2 Bth the principl-weighted nd simple men price impcts my be influenced by lrge, unrepresenttive trnsctins. Accrdingly, Tble ls reprts the medin nd ther percentiles fr ech mesure f price impct. Reltive t the pen r the clse, the medin return fr buys is zer while the medin chnge frm pen t clse fr buys is ls zer. Evidently, the typicl institutinl purchse hs little r n impct n prices. Hwever, the percentiles f the distributin f returns indicte tht there is substntil dispersin crss trdes with respect t their price impct, suggesting tht ther fctrs my be t wrk s well. Anther perspective n the price impct f institutinl rders is btined by cmpring the trde price t n verge f trnsctin prices frm the sme dy. Berkwitz, Lgue nd Nser (1988) interpret the price impct reltive t the vlume-weighted verge price s mesure f executin cst. Using this benchmrk, the dllr-weighted verge impct is very smll, t 0.02 percent. Similr vlues re btined if the clcultin f the vlume-weighted price excludes the trde under cnsidertin, r if the simple verge price is used s the benchmrk. The medin percentge difference under ny f the three intr-dy verge price benchmrks suggests tht the typicl institutinl purchse cn be ccmmdted with virtully n mrket impct. Indeed, the simple verge impct reltive t these benchmrks is slightly negtive, which wuld imply, under the interprettin f Berkwitz, Lgue nd Nser (1988), negtive executin cst n verge t buying! Turning t institutinl sles (pnel (b) f Tble ), there is n initil principl-weighted verge drp in prices f 0.14 percent frm the pen t the trde. As in the cse fr buys, mny f the sme fctrs cn ccunt fr this chnge mvement frm the pen dwn t bid price, lekge f unfvrble infrmtin r institutinl sles my be triggered by price chnges befrehnd. In mrked cntrst t the behvir f prices fter buys, hwever, the initil price decline is lmst fully reversed by the subsequent verge return f 0.10 percent t the clse. As result, there is nly smll permnent

22 10 chnge f percent. The pst-trde behvir f prices in the cse f sells is thus mre supprtive f effects due t shrt-term liquidity csts, rther thn imperfect substitutin r infrmtin. The results in Tble (b) re reminiscent f the findings in Krus nd Stll (1972) nd Hlthusen et l (1990). In cmprisn t these erlier studies, hwever, bth the principl-weighted nd simple men percentge returns in pnel (b) f Tble re much smller, nd the medin impct reltive t either the pen r clse is zer. Furthermre, the prices t which institutinl trdes re executed d nt differ gretly frm the verge price ver the curse f the dy. The principl-weighted verge percentge differences rnge frm percent using the vlume-weighted verge price, t percent using the simple verge price s the benchmrk. Overll, the evidence suggests tht institutinl sles re sscited with sme dwnwrd pressure n prices, lthugh the mrket impct is generlly smll nd temprry in nture. It might be rgued tht the differences between the findings in Tble nd the findings f erlier reserch re due t differences in cmmissin rtes. If the specilist r blck trder n the ther side f the trde receives cmpenstin in the frm f cmmissin s well s price cncessin, then lwer cncessin might be exchnged fr higher cmmissin. Similrly, differences between the cmmissin rtes fr purchses nd sles might ccunt fr the differentil price impct. In Tble, hwever, the principl-weighted cmmissin rte is the sme fr buys nd sells, t 0.17 percent f trde vlue (six cents per shre n stck with the verge price f $6.50). Furthermre, the simple verge cmmissin rte, 0.2 percent, is much smller thn the men cmmissin rte f 1.01 percent fr the lrgest stcks ver the perid 1960 t 1979, reprted by Stll nd Whley (198). 2. The Asymmetric Respnse f Prices t Purchses nd Sles A key puzzle emerges frm Tble : there is mrked symmetry between the effect f institutinl buying nd selling ctivity n stck prices. Figure 1 plts the principl-weighted return frm the pen t the trde, nd frm the trde t the clse. 4 Purchses f stck re ccmpnied by n increse in its price, which cntinues t rise fter the trde; sles f stck re ccmpnied by drp in its price, but there is subsequently n lmst cmplete recvery in the price. Severl cnjectures cn be ffered t ccunt fr the symmetry between the price impct f buys nd sells. The lrger, psitive impct f institutinl purchses culd rise if institutins re

23 11 psitive feedbck trders fr buys but nt fr sells, i.e., they tend t intensify their buying behvir n dys when the mrket rises. This explntin, hwever, is nt cmptible with the dt. On dys when there is buying ctivity, the verge return frm the pen t the clse n the Stndrd & Pr's Cmpsite Index, weighted by the dllr vlue f purchses, is 0.05 percent. The crrespnding principl-weighted return fr dys when there is selling ctivity is ctully higher t 0.08 percent. If nything, this finding suggests tht institutinl mney mngers might mke mrkets mre stble by their negtive feedbck strtegies. Severl ther fctrs, nt mutully exclusive, might ccunt fr the differences between the effects f buying nd selling ctivity. "Street wisdm" suggests tht brkers re willing t ccmmdte custmers' sles by purchsing shres nd hlding them in inventry. In exchnge, sellers py shrtterm liquidity cst in the frm f price cncessin t the brker. On the ther hnd, brkers re mre reluctnt t ccmmdte custmers' purchses by undertking shrt psitins. Insted, n institutin wh wishes t purchse shres will generlly hve t del directly with existing hlders f the stck. Since n intermediry is less likely t be invlved in purchses, it is less likely tht the trnsctin price incrprtes fee t the intermediry in the frm f temprry price cncessin. 6 Infrmtin effects re ls mre prbble fr purchses thn fr sles. Substntilly mre ttentin is devted within the securities industry t generting buy recmmendtins thn sell recmmendtins (Lknishk nd Mberly (1990)). A mney mnger wh chses t ct n buy recmmendtin will generlly hve t rellcte funds in the prtfli wy frm ther stcks. Since n institutinl investr typiclly des nt hld the mrket prtfli, the chice f prticulr issue t sell, ut f the limited lterntives in prtfli, des nt necessrily cnvey negtive infrmtin. Rther, the stcks which re sld my lredy hve met the prtfli's bjectives, r there my be ther mechnicl rules, unrelted t expecttins but future perfrmnce, fr reducing psitin. As result, there re mny liquidity-mtivted resns t dispse f stck. In cntrst, the chice f ne specific issue t buy, ut f the numerus pssibilities n the mrket, is likely t cnvey fvrble firmspecific news. Under this interprettin, the symmetric impct f buys versus sells cn be ttributed t their different infrmtin cntent, t lest n verge. 6

24 12 Cnverstins with mney mngers suggest nther behvirl interprettin f the differences between the effects f buys nd sells. Mst mngers trget fr inclusin in their prtflis stcks tht they believe re undervlued t current prices. A slight increse in the price f such stck might engender fers tht the stck will "run wy" frm the mnger. Hence the price increse will nt deter the mnger frm buying the stck, perhps cntributing further price pressure. On the ther hnd such mnger displys mre ptience in selling; if the stck price flls, the mnger is likely t defer selling ctivity, feeling tht the price will ultimtely rebund t its higher true vlue. In summry, the price impct f sles is nt merely the reverse f the impct f purchses. While the behvir f the stck price fter buys reflects new infrmtin r inelstic excess demnd curves, the price behvir fter sells is mre indictive f liquidity-relted reversl. In ny cse, the verge nd medin price effects re nt lrge, nd executin prices fr institutinl trdes d nt differ very much frm verge prices ver the curse f the dy.. The Rle f Firm Size Prir reserch, bth thereticl nd empiricl, suggests tht the price impct f trde is ffected by vrius ther cnsidertins. In light f the numerus prpsls fr trding rules bsed n lw cpitliztin stcks, the price impct f trdes in smll stcks is f specil interest. Leb (198), Stll nd Whley (198) reprt tht deler spreds nd cmmissin csts re higher fr smller firms thn fr lrge firms. In Tble 4, results re presented fr trdes clssified int fur ctegries ccrding t the mrket cpitliztin f the stck. The cut-ff pints fr ech ctegry re determined every qurter, by rnking ll NYSE nd AMEX firms n the CRSP tpe in terms f the mrket vlue f equity utstnding t the end f the prir qurter. The grup f smllest firms cmprises the first 40 percent f firms rnked in this mnner, the secnd grup cmprises the next 40 percent; the third grup cmprises firms in the ninth decile while the finl grup is mde up f firms in the tp decile f the distributin. In the cse f buys (Tble 4A), price effects reltive t the pen nd clse indeed vry with the mrket vlue f equity. With the exceptin f the ctegry f smllest firms, the return frm the pen rises mntniclly s firm size declines. Subsequent t the trde, price cntinutins re strnger fter

25 1 purchses f smller stcks. Tken tgether, the verge price chnge frm pen t clse n dys with institutinl purchses is psitive nd tends t be higher fr smller firms. The principl-weigh ted verge permnent pen-t-clse return rnges frm 0.28 percent fr the lrgest firms t 0.49 fr the smllest. Fr sell rders (Tble 4B), the principl-weighted verge drp frm the pening price t the executin price ls tends t be lrger, the smller the firm. Hwever, the subsequent recvery in the price is ls strnger fr smller firms. As result, there is n cler pttern crss the fur size grups with respect t the permnent price chnge the price remins rughly unchnged r declines slightly frm the pen t the clse. It is evident frm Tbles 4A nd 4B tht the symmetry between the price impct f buys nd sells persists crss different firm sizes. It is prbbly mre difficult t mintin nnymity in trding lw cpitliztin stcks, since institutinl prticiptin in such stcks is generlly quite lw. Accrdingly, the mrket might interpret institutinl purchses f smller stcks s mre relible indictrs f fvrble privte infrmtin. Mrever, even minr institutinl stke in smll stck might invlve severl successive trdes, s tht the mrket impct f n institutinl purchse might be spred ut ver severl dys, befre reversl ccurs. Limited institutinl hldings f smller stcks might ls reduce the extent f rbitrge ctivity in these stcks. As result, disruptins in demnd re less likely t be ccmmdted by dditinl supply frm institutinl rbitrgeurs, resulting insted in lnger lsting price pressure. Sles by ur smple f institutinl mney mngers, n the ther hnd, d nt n verge cnvey much new infrmtin t the mrket, even fr the smllest stcks. Such sles might represent mney mngers remving prly perfrming smll stcks frm their prtflis in rder t vid ptentilly embrrssing questins frm their clients ("windw dressing"). Investment plicies regrding minimum levels f mrket cpitliztin, dividend yield, r the number f nlysts fllwing stck, my prmpt mnger t sell stcks even in the bsence f unfvrble infrmtin. In ll the fur size grups, the verge price impct fr buys nd sells is smll, prticulrly in light f the lwer prices f smll stcks. The medin return reltive t either the pen r clse is zer fr buy nd sell rders crried ut by institutins. In cmprisn t the three intr-dy verge price benchmrks, institutinl sles re sscited with slight dwnwrd pressure n prices. Cntrry t intuitin, hwever, executin prices fr buys d nt differ by much frm the verge price benchmrks

26 14 nd d nt mve with firm size in the expected directin. If nything, purchses f the smllest stcks re crried ut t prices mre fvrble thn the intr-dy verge price. Fr the smllest firms, the mgnitude f the price impct f bth buys nd sells is sensitive t whether the trde is included in, r excluded frm, the vlume-weighted verge. Turning t cmmissins, lthugh the percentge cmmissin cst flls with firm size, the dllr cst is lmst the sme crss ll size grups t but six cents per shre. The lw mgnitude f the numbers in Tbles 4A nd 4B stnd in distinct cntrst t the estimtes f Stll nd Whley (198), wh reprt simple men fr the quted reltive spred f 2 percent nd simple men cmmissin rte f 1.6 percent pplicble fr the smllest fur deciles f firm size. One resn fr the difference between the quted spred reprted by Stll nd Whley (198) nd the relized mrket impct f trde (ther thn the different smple perid) might be pprtunistic r strtegic trding behvir n the prt f institutinl mney mngers. In prticulr, the results fr institutinl purchses f the smllest stcks my be cnfunded by crss-sectinl differences in institutinl trding strtegies. Institutins tht predmintely trde in lw cpitliztin stcks my chse t buy nly if fvrble, inexpensive pprtunity presents itself (perhps becuse the quted spreds nd cmmissins re indeed high). In this ltter cse, purchses f lwer cpitliztin stcks my tend t be cncentrted in reltively smll grup f mney mngers, wh pper t incur lw mrket impct csts becuse their buying behvir essentilly supplies liquidity t sellers. Sellers f smll stcks, n the ther hnd, re mre likely t cme frm lrger, mre diffuse grup f institutins, including institutins selling stcks whse mrket vlues hve declined in pst perids. On verge, such sellers incur shrt-run liquidity csts which re lrger fr smll firms. 4. The Rle f Trde Difficulty The cmprtive difficulty f trde is nther ptentil determinnt f its impct n the stck price. A cmmnly used indictr f trde cmplexity is the dllr vlue f the trde reltive t nrml dily vlume in the stck, A trde tht is lrge in cmprisn with nrml trding vlume wuld be mre difficult t execute withut incurring lrge mrket impct, either becuse lrger cncessin is necessry t ttrct immeditely willing cunterprties r becuse lrge trde is strnger signl f privte infrmtin. Mdels f infrmtinl symmetry such s Esley nd O'Hr (1987), Glsten

27 15 (1989) suggest this ltter resn. Tbles 5A nd 5B nlyze the sscitin between the price impct f trde nd its cmplexity (reltive size). The cmplexity f trnsctin is defined s its principl vlue, reltive t verge dily trding vlume ver prir 40 dy perid (nrml vlume). On the bsis f reltive size, trdes re clssified int ne f fur grups: trdes ccunting fr mre thn 80 percent f nrml vlume re ctegrized s the hrdest trdes; trdes between 40 percent nd 80 percent f nrml vlume re plced in grup 4; trdes between 25 percent nd 40 percent re plced in grup ; trdes between 10 percent nd 25 percent f nrml vlume re plced in grup 2 while trdes which re less thn 10 percent f nrml vlume re clssified s the esiest trdes. These cut-ff pints were chsen fter extensive cnverstins with trding prfessinls nd mney mngers s t wht cnstitutes difficult trde. The results in Tble 5 re very similr t the results btined erlier, when trdes re clssified by firm size. In prticulr, the principl-weighted verge permnent price chnge fr purchses is mntniclly incresing in trde cmplexity, rising t 0.51 percent fr the hrdest trdes. The permnent price chnge fr institutinl sles is, n verge, negtive fr ll but the esiest trdes, nd is lrger (in bslute vlue) fr mre difficult trdes. Even in the ctegry f the hrdest trdes, hwever, the verge permnent impct is nt prticulrly ntewrthy: sle which ccunts fr s much s 80 percent r mre f nrml dily vlume yields n verge permnent price chnge f nly 0.15 percent, s tht by the end f the dy the stck price is nly but fur cents belw its pening price (given n verge price f $25.9 per shre fr the hrdest trdes). These results fr the pen-tclse price chnge cnfirm n sscitin with trde size fr buys, lthugh the mgnitude f the permnent impct fr bth buys nd sells is smller thn in Hlthusen et l (1990). Tble 6 exmines the behvir f the price impct f trdes s bth firm size nd trde cmplexity vry. Within ech f the fur ctegries f firm size (defined s in Tble 1), trdes re divided int fur grups by trde difficulty, using the qurtiles f the distributin f trde size reltive t nrml dily vlume (s reprted in Tble 2, pnel c). In rder t vid clutter, the tble reprts nly the principl-weighted verges fr subset f the price impct mesures. Fr institutinl purchses, the permnent impct n prices rnges frm 0.11 percent fr the esiest trdes in the lrgest firms t 0.72 percent fr the hrdest trdes in the smllest firms. The

28 16 impct f even the hrdest purchses f the smllest stcks is nt prticulrly lrge, hwever, cmpred t ther reserchers' estimtes f the cst f trding smll stcks in generl. At the ther end f the scle f firm size, the permnent effect f institutinl purchses f the lrgest stcks (where mst institutinl trding is cncentrted) tends t increse with trde difficulty; t its mximum, hwever, this impct munts t nly 0. percent. The verge permnent impct f institutinl sles is, in generl, ls nt very nticeble. When the vlume-weighted price is used s the benchmrk, the price impct prvides very little bsis fr discriminting between trdes with different chrcteristics: the verge impct f the esiest purchses in the lrgest stcks is percent, while the verge impct f the hrdest purchses f the smllest stcks is even mre fvrble t percent. All in ll, the results fr buys in Tble 6 re cnsistent with the presence f infrmtin effects r dwnwrd slping demnd curves due t imperfect substitutin. Strtegic buying behvir n the prt f mney mngers my help t ccunt fr the reltively lw impct frm the pen in the cse f the smllest firms. Similrly, the bility f mngers t clk the infrmtin cntent f their purchses cn perhps help t ccunt fr the bsence f ny strng crreltin between the permnent price effect nd reltive trde size. On the ther hnd, sell trnsctins re sscited with nly minr permnent price chnges. Any initil dwnwrd pressure n prices is generlly reversed by the end f the trding dy, suggesting the existence f shrt-term liquidity csts. 5. Differences in Price Impct Acrss Mney Mngers It my ls be the cse tht the mrket impct f trnsctin vries with the style f the mney mnger nd the cmpetence f the trding desk respnsible fr the trde. Mdels f dverse selectin, fr exmple, stress the difference between infrmed nd uninfrmed mngers. In either cse, ther strtegic spects f the trde, such s its size nd timing, re subject t the influence f the individul trder. Treynr (1981), Wgner (1989) describe hw trding strtegies might differ with respect t demnd fr immedicy, whether the mnger fllws psitive feedbck r negtive feedbck strtegy, s well s ther less tngible fctrs. Admti nd Pfleiderer (1989) shw hw the interctin between the strtegic trding behvir f infrmed specultrs nd discretinry liquidity trders cn ccunt fr intrdy price ptterns. Lknishk, Shleifer nd Vishny (1991) rgue tht mney mngers with different trding strtegies might ffset ne nther's price impct, s tht their ggregte

29 17 influence is nt necessrily destbilizing. Vritin crss mngers in terms f their strtegic behvir nd investment in trding desk shuld give rise t differences crss mngers with respect t the price impct f their purchses nd sles. An extended chrcteriztin f the vrius trding strtegies dpted by different mney mngers, tgether with their resulting impct n stck prices, is beynd the scpe f this pper (see Lknishk, Shleifer nd Vishny (1991)). Insted, in the subsequent nlysis, we dpt the less mbitius tck f nly dcumenting the existence f dispersin crss mney mngers with respect t the price impct f their trdes. In Tble 7, summry sttistics re presented fr the distributin crss mngers f three f ur mesures f price impct. Fr ech f the 7 individul mngers, the different returns re clculted nd then verged (using trde principl s weights) crss ll the mnger's trdes. The summry sttistics in Tble 7 re bsed n these 7 bservtins fr ech price impct mesure. The perfrmnce f the medin mnger prllels ur previus findings frm Tble. Nnetheless, cnsiderble vritin exists crss mngers fr bth buys nd sells under ech mesure f price impct. This vritin cnnt be ttributed simply t nise - the verge price impct f ech mnger is bsed upn tens f thusnds f trdes, s tht the precisin f ech estimte is high. Fr exmple, the executin perfrmnce fr buys reltive t the pening price vries frm percent in the tenth percentile t 0.54 percent in the ninetieth percentile, yielding difference f full percentge pint per trnsctin. The crrespnding difference fr sells is very similr, t 0.98 percent per trnsctin. Insfr s the pening price is knwn if nd when mnger chses t trde, the differences crss mngers in their executin perfrmnce reltive t the pen reflects severl surces: their differentil skill in seeking ut liquidity; bility in trding befre the relese f infrmtin; s well s differences in their respnses t price mvements subsequent t the pening. The dispersin crss mngers, in terms f the pst-trde return till the clse, is ls ntble but substntilly lwer. Fr buys (sells), the tenth percentile is percent (0.01 percent) nd the ninetieth percentile is 0.25 percent (0.26 percent), giving rise t difference f 0.26 percent (0.27 percent) per trnsctin. Given tht the mnger hs lredy trded, the pst-trde return will vry crss mngers nly t the extent tht the mrket price respnds differently t their trdes In this respect, the dispersin in

30 18 mngers' pst-trde returns is expected t be smller thn the dispersin in their pre-trde executin perfrmnce. Our cnfidence tht the differences crss mngers cn be scribed t differences in trding strtegy, rther thn nise, wuld be heightened if mnger wh btins fvrble executin fr buys ls fres well fr sells. This is indeed the cse: the rnk crreltin crss mngers between perfrmnce fr buys nd sells reltive t the pening price is -0.84, fr perfrmnce reltive t the clsing price nd fr the permnent price chnge. In ther wrds, mnger wh buys lw reltive t the pening price (r reltive t the clsing price) ls tends t sell high reltive t the pening price (r reltive t the clsing price). These findings re cnsistent with the price impct f buys nd sells being influenced by cmmn vrible such s mnger's executin bility. 6. Regressin Results Fllwing the led f previus thereticl nd empiricl reserch, the previus sectins cnfirm the influence f firm size nd trde difficulty n the price impct f trde. In dditin, the unique fetures f ur dtset enble us t suggest nther ptentil influence, nmely the identity f the mnger behind ech trde. It is thus nturl t sk whether, fter cntrlling fr firm size nd trde difficulty, the mnger's identity still remins s n imprtnt determinnt f trde's price impct. There my ls be trde-ff between the cmmissin cst nd the mrket impct f the trde. These vrius influences re ccmmdted in the fllwing regressin mdel: ;=1 j=\ ;=1 Fr ech trde i, rs is ne f the three mesures f price impct tht we fcus n: the percentge return frm the pen t the trde, frm the trde t the clse, nd frm the pen t the clse. The cmmissin cst fr the ith trde is dented by Cj, nd fllwing the cmmn prctice in the investment industry, is mesured in cents per shre (Mrshll, 1988). It is mre likely tht the mnger's trding desk perceives the trde-ff (if ny exists) in terms f the dllr cmmissin cst, rther thn in terms f the cmmissin rte. 7 The effects f mrket cpitliztin, trde difficulty nd mngeril strtegy re

31 19 cptured by the dummy vribles, S^, D,j nd M,,, respectively. Fr exmple, M,j tkes the vlue f ne if the ith trde is executed by the jth mnger nd is zer therwise. T permit identifictin, the cefficients fr the dummy vribles fr mngers re nrmlized reltive t the first mnger in the dt set. Similrly, the cefficients fr the trde difficulty vribles re expressed reltive t the impct f trdes in the first ctegry (the esiest trdes), while the cefficients fr firm size re expressed reltive t the impct f trdes in the lrgest firms. Seprte regressins re fit t the price impct f buy trnsctins, nd t the impct f sell trnsctins. In dditin, the mrginl explntry pwer f ech set f dummy vribles is ssessed by excluding ech set, ne t time, frm the full mdel (1). Pnel A f Tble 8 reprts the djusted R 2 fr ech specifictin f the regressin mdel. Fr given mesure f price impct, cmprisn f the different specifictins indictes tht mst f the explntry pwer f the mdel cmes frm the identity f the individul mney mnger behind the trde. In cntrst, excluding the dummy vribles fr firm size nd trde cmplexity hs little r n effect n the R 2. In light f the imprtnce f the mnger dummies, it is perhps nt surprising tht the mdel prvides the best fit in the equtin fr the return frm the pen t the trde. This mesure f price impct, t lrger extent thn the thers reflects the effects f mngeril trding strtegy. In pnel B, the cefficients f the full mdel re reprted fr ech f the three mesures f price impct. Given the very lrge smple size nerly ll f the estimted cefficients re lrge reltive t their stndrd errrs. Therefre, the fcus f the discussin will be n the ecnmic significnce f the cefficients. One presumptin is tht fvrble executin (lwer price impct) is purchsed frm brker in exchnge fr higher cmmissin fee. Hwever, the cefficient fr the cmmissin cst vrible fr bth buys nd fr sells (in prentheses) is negligible, regrdless f the mesure f price impct, nd in mny cses hs the wrng sign. The mst fvrble evidence n substitutin between the price impct f trde nd its cmmissin cst emerges in the equtin fr the price impct f sells reltive t the clsing price. Even in this cse, hwever, n increse in the cmmissin f ne cent per shre (in itself lrge jump in cmmissins) lwers the pst-trde price reversl by percent, yielding dllr svings f nly 0. cents per shre n stck with the verge price f $6.50. As pinted ut in Beebwer (1989), hwever, the lck f reltin between cmmissin pyments nd price impct des nt imply tht the

32 20 cmpenstin t the brker is independent f the services prvided t the mnger. Sme brkers, fr exmple, my cmmit their wn cpitl t ccmmdte mngers' trdes, while thers my simply prcess trnsctins. While the cmmissin pyments t these tw grups my nt differ gretly, the mnger my insted direct esier trdes in lrge stcks t the secnd grup, receiving in exchnge "sftdllr" rebtes in the frm f brkers' reserch services r brkers' ssumptin f sme f the client's expenses. Such rebtes re less likely in the cse f brkers with mre extensive investments in executin cpbility. With respect t the influence f firm size nd cmplexity, the results in pnel B cnfirm the findings f the previus sectins. Wht is prticulrly ntewrthy, hwever, is tht the cefficients f the dummy vribles fr mney mngers still disply cnsiderble dispersin fr buys the spred between the tenth nd ninetieth percentiles runs frm 0.26 when returns re mesured fter the trde t 0.72 when pre-trde returns re cnsidered. Similrly, mney mngers' executin perfrmnce fr sells cn differ gretly the spred between the tenth nd ninetieth percentiles f the cefficients fr the mnger dummies rnges frm 0.4 (reltive t the clsing price) t 0.87 (reltive t the permnent impct). While smewht ttenuted reltive t the findings f tble 7, these spreds re still cnsiderble. IV. The Executin Cst f Institutinl Trdes The results f the previus sectin n the price impct f institutinl trnsctins ls prvide evidence n the csts t institutinl investrs fr executing equity trdes. In prticulr, the difference between the price t which n rder is executed nd the underlying true vlue f the stck munts t price cncessin which is cst f trding, in dditin t brkerge cmmissins. Within the investment industry, cnsiderble resurces, in the frm f slries fr prfessinl trders nd the csts f cmputers nd cmmunictins equipment, re expended n mnitring nd cntrlling such trding csts. Further, reserchers wh wish t evlute the prfitbility f different trding rules must grpple with the csts f trnscting under such rules. Nnetheless, there is remrkbly little greement s t the mgnitude f executin csts. Severl uthrs, using vriety f different methdlgies nd smples, hve reprted estimtes f trding csts. Demsetz (1968) reprts ttl cst (spred plus cmmissin) f 1. percent; Cndn (1981) finds verge executin nd cmmissin csts f 0.55 percent