AAA, they typically pay for the use of capital. If I am Fidelity and I want to sell 200,000 shares of something that trades very thinly, I can call up any broker and it the piece done with little market impact (i.e., maybe down 10 to 25 cents at the most).
Interesting. My expereicne lies only with NASDAQ VWAPS so we are talking about slightly different things..
Already posted here http://www.elitetrader.com/vb/showthread.php?s=&threadid=26238 Bloomberg Columnists Michael Lewis , whose books include "Liar's Poker," "The New New Thing" and "MoneyBall," is a columnist for Bloomberg News. The opinions expressed are his own. http://quote.bloomberg.com/apps/news?pid=10000039&sid=a7WQcdj7fooU&refer=columnist_lewis "Echo of Analysts Enter the regulators, and their post-bubble zeal. If one consequence of the mutual-fund scandal is to drive small investors away from their faith in mutual-fund stock pickers, some good might come of it. But that isn't likely. What's likely is that the scandal will leave ordinary investors with the impression that the main trouble with their financial institutions is that they are dishonest. In this respect, the mutual-fund scandal resembles the (phony) Wall Street analyst scandal: It is likely to create the illusion of reform rather than the genuine article. The settlement with Wall Street firms over their analysts' exuberance for Internet stocks created the illusion that Wall Street research, once tainted by self-interest, is now ``objective'' and therefore reliable. But you'd be as much of a fool to follow Wall Street stock-picking advice today as you would have been three years ago -- and as likely to come out of it well. The mutual-fund scandal will have the beneficial effect of scaring the bejesus out of mutual-fund managers who survive it. But it won't make them meaningfully more likely to invest capital wisely. Just the reverse: Larded with even more regulation, more legal costs, more cover-your-butt provisions, mutual funds will see their costs rise. The added costs will be passed along to investors. Mutual-fund returns will be even less likely to justify fees. "