Measures of Implicit Trading Costs and Buy-Sell Asymmetry
Gang Hu

Abstract
Many previous studies document that institutional buys incur higher implicit trading costs than do sells. We provide a simple yet previously unexplored explanation for this phenomenon: it is because previous studies use pre-trade benchmark prices to measure implicit trading costs. Our results cast doubt on previous findings on execution quality that use pre-trade measures, because pre-trade measures mainly capture market movement.

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