Year-end Sale % OFF 
Abstract
In this research, we evaluate the US investors' trading pattern and choice of market timing in the presence of implementation shortfall. Results show that when investors decide to trade, implementation shortfall is being ignored. It is observed that stock performance on Wednesday is positive in the presence of positive and significant implementation shortfall i.e., traders do not seem to manage implementation shortfall during trading on Wednesday. It is also observed that investors seem to ignore the implementation shortfall in April. This behavior seems to persist in other types of market times such as turn-of-the-month, week-of-the-month, and quarter-of-the-year effects on implementation shortfall. We conclude that investors behave aggressively to buy stocks during certain days and times of the year ignoring implementation shortfall.
Highlights
To estimate portfolio performance, one needs to consider trading costs that involve both cost of trading and the cost of not trading along with commission - known as "Implementation Shortfall" (Perold, 1988; Wagner & Edwards, 1993; Kissell, 2014; Khandoker, Bhuyan, & Singh, 2016; Bhuyan & Khandoker, 2018)
We find no notable January effect in the sense that implementation shortfall is not affected during January
Our study attempts to examine the practical consequences of implementation shortfall on the trader's trading decisions
Summary
One needs to consider trading costs that involve both cost of trading (hidden cost) and the cost of not trading (opportunity cost) along with commission - known as "Implementation Shortfall" (Perold, 1988; Wagner & Edwards, 1993; Kissell, 2014; Khandoker, Bhuyan, & Singh, 2016; Bhuyan & Khandoker, 2018). We examine and identify the level of implementation shortfall during various trading times, such as day, week, month, and a quarter. Results show that none of the month's trading has a significant impact on implementation shortfall except for April trading.
Sign-in/Register to view highlights & summary Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Accounting & Finance Review
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
