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- W2511276241 abstract "We use industry data to determine whether crowding of the investment space is caused by portfolio construction processes typical to the investment community. In particular, this paper examines the extent that transaction cost models cause crowding of the investment space, even when the investment models are completely unrelated to one another. We find that as transaction costs become more significant in the portfolio creation process as portfolios increase in size from $500 million to $5 billion, crowding actually declines for long-only portfolios and mainly declines, but sometimes increases for market neutral portfolios. This research sheds more light on how crowding develops through actions by players within the financial system" @default.
- W2511276241 created "2016-09-16" @default.
- W2511276241 creator A5052522854 @default.
- W2511276241 date "2016-01-01" @default.
- W2511276241 modified "2023-09-27" @default.
- W2511276241 title "Transaction Cost and Crowding" @default.
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- W2511276241 doi "https://doi.org/10.2139/ssrn.2814526" @default.
- W2511276241 hasPublicationYear "2016" @default.
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