TY - UNPD A1 - Johanning, Lutz T1 - Transaction costs and strategic trading of German investment management firms N2 - The aim of this study is to measure total transaction costs as well as the cost components for six German investment management firms from August 1st until October 31st 2001. The investigation is based on a unique order-level data set that includes all relevant information (e.g. time of investment decision, order-release to the broker and trade execution). For computing transaction costs we use tick by tick price data for the 75 stocks of the Euro Stoxx 50- and Stoxx 50-universe. Volume weighted, i.e. effectively paid, one way transaction costs sum up to 66.76 bp. Market pact is the highest cost component and amounts to 27.93 bp for volume weighted averages. According to a regression analysis market impact is driven by high volatilities and bid ask spreads; market momentum induces market impact to fall, indicating mean reversion of stock prices. High free float and market activity do not influence the market impact, but lead – just as high volatilities and bid ask spreads - to a reduction in trading aggressiveness. Trading duration decreases with high volatility and diminishing bid ask spreads. Overall, the results illustrate that to some extent German investment management firms trade strategically. Nevertheless, a further reduction in market impact, and therefore an increase in investment performance, seems to be possible, if traders pay greater attention on the liquidity indicators known already at order release. KW - Transaktionskosten KW - Transaction costs KW - Portfolio-Management KW - Portfolio management KW - Aktien KW - Stocks KW - Kapitalmarkt KW - Capital market KW - Corporate Governance KW - Corporate governance Y1 - 2018 UR - https://opus4.kobv.de/opus4-whu/frontdoor/index/index/docId/683 UR - https://nbn-resolving.org/urn:nbn:de:hbz:992-opus4-6831 N1 - Published in: Journal of Applied Corporate Finance 27(2015)4, pp. 96-104 PB - WHU - Otto Beisheim School of Management CY - Vallendar ER -