2011
DOI: 10.1111/j.1540-6288.2011.00303.x
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The Determinants of Execution Costs in Short-Term Money Markets

Abstract: Prior research attributes the observed negative relation between execution costs and trade size in opaque markets to two factors-information asymmetry and broker-client relationships. We provide evidence that a trader's ex ante transaction price information and the relationship traders have with their brokers are both significant determinants of a trader's execution costs in an opaque market; however, traders who establish strong relationships with their brokers will achieve a greater reduction in execution co… Show more

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