Boston / QWAFAFEW

http://www.qwafafew.org/boston-20080311

Next Boston QWAFAFEW Meeting: Tuesday, 11 March 2008
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
[call 617-536-4630 for directions]
RSVP to Hugh@QWAFAFEW.org

a QWAFAFEW discussion led by Roger Edelen, BC

Topic: Agency Costs of Institutional Trading

ABSTRACT
Under the typical institutional trading arrangement a portfolio manager makes the trade decision and a trading desk executes the trade, with execution performance evaluated against a benchmark such as the volume weighted average price (VWAP). We develop a model which shows that this arrangement gives the trader an incentive to maintain a relatively low ask quote when valuations rise to expedite sell trades and a relatively high bid quote when valuations fall to expedite buy trades. This process inhibits information assimilation giving rise to price-adjustment delays. We provide empirical support for this argument with several previously undocumented cross sectional and time series facts about price-adjustment delays.

Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther. Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand. Help needed.  We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.

2008 Boston QWAFAFEW Schedule
(names are Steerage Committee members in charge of the program)
                                 
2008
                                     
April 15                                         Jarrod Wilcox presents
May 20                                                               Dan Rie
June 17                                                      Mark Kritzman
July 15                                                        John Minahan
August 19                                              Dan diBartolomeo
September 16                                            John Nagorniak
October 21          André Perold arranged by Evan Schulman
November 18                                                             TBD
December 16                                             Michael Wilcox