RT Journal Article SR Electronic T1 How Does a Stock Trade? Stock-Specific Peer Group Analysis and Its Application to Portfolio Liquidity JF The Journal of Trading FD Institutional Investor Journals SP 5 OP 16 DO 10.3905/jot.2017.12.4.005 VO 12 IS 4 A1 Ian Domowitz A1 Kumar Giritharan YR 2017 UL https://pm-research.com/content/12/4/5.abstract AB The authors introduce an activity-based approach to trading performance comparisons, in which the common denominator is an individual security. The framework facilitates answers to three questions. 1) Is there valuable information in peer trading comparisons if one analyzes performance on a stock-by-stock basis? Aggregated comparisons across institutions and brokers disguise important differences in the effectiveness of the trading process. 2) How does a stock trade? An answer lies in the characterization of single-stock profiles. The approach exploits institutional trading activity, combining such information with market data and repurposing old tools with the goal of reducing institutional trading costs. 3) How does one characterize the liquidity profile of a portfolio? The answer relies on observed liquidity, as evidenced by institutional trading activity. The solution depends on building the portfolio profile up from individual securities and yields not only the implementation costs of liquidation, for example, but also the horizon over which this may be accomplished.TOPICS: Performance measurement, portfolio construction