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White Paper

Transactions Costs: Practical Application

September 17, 2018 - Saied Hedayati Brian K. Hurst Erik Stamelos

We offer guidance on understanding transactions costs, including a discussion of the practical aspects of measuring them and the pitfalls one might face when trying to compare costs across managers.

Working Paper

Trading Costs

August 23, 2018 - Andrea Frazzini Tobias J. Moskowitz

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Journal Article

Dynamic Trading With Predictable Returns and Transactions Costs

November 1, 2013 - Nicolae Gârleanu Lasse H. Pedersen

Active investors and asset managers — such as hedge funds, mutual funds and proprietary traders — try to predict security returns and trade to profit from their predictions.

Working Paper

Trading Costs of Asset Pricing Anomalies

December 5, 2012 - Andrea Frazzini Tobias J. Moskowitz

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.