Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders

Posted: 14 May 1998

See all articles by Donald B. Keim

Donald B. Keim

University of Pennsylvania - Wharton School

Ananth Madhavan

BlackRock, Inc.

Date Written: July 1994

Abstract

This paper examines the behavior of institutional traders using unique data on the equity transactions of 21 institutions of differing investment styles during 1991-1993. The data provide a detailed account of the anatomy of the trading process, and include information on the number of days needed to fill an order and types of order placement strategies employed. We analyze the motivations for trade, the determinants of trade duration, and the choice of order type. The analysis provides some support for the predictions made by theoretical models, but suggests that these models fail to capture important dimensions of trading behavior.

JEL Classification: G20, G23, G29

Suggested Citation

Keim, Donald B. and Madhavan, Ananth, Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Traders (July 1994 ). Available at SSRN: https://ssrn.com/abstract=5437

Donald B. Keim (Contact Author)

University of Pennsylvania - Wharton School ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
215-898-7685 (Phone)
215-898-6200 (Fax)

Ananth Madhavan

BlackRock, Inc. ( email )

400 Howard Street
San Francisco, CA 94105
United States

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