Abstract
In this article, the authors investigate how capacity impacts the investment management process by studying the increasing market-impact costs of liquidity-demanding equity strategies as a function of the trading volume and turnover of typical trade lists. They simulate historical monthly alphas for a generic long–short equity strategy and use historical returns plus stock-specific market-impact cost estimates to compare performance as assets under management increase.
- © 2009 Pageant Media Ltd
Don’t have access? Register today to begin unrestricted access to our database of research.
Log in using your username and password
In this issue
The Capacity of Liquidity-Demanding Equity Strategies
