Nankof and Lyon (2000)
Nankof, Joseph S. and Christopher R. Lyon. "Assessing Transaction and Market Impact Costs Associated with Tobacco Divestment" in Cogan, Douglas G. (ed.), Tobacco divestment and Fiduciary Responsibility: A Legal and Financial Analysis, Washington, D.C.: Investor Responsibility Research Center, January 2000.
Examines transaction and market costs of tobacco divestment by the Florida State Board of Administration and Massachusetts Pension Reserves Investment Management Board. For various holdings of the Florida State Board of Administration, estimates market impact of divestment at 54 bps for actively managed holdings and 93 bps for indexed holdings. For the Massachusetts Pension Reserves Investment Management Board, estimates market impact of divestment at 25 bps. The authors comment that "it appears the strategy of liquidating the securities in the normal course of trading reduced the market impact," but warn that some of this benefit may have been offset by higher commission costs due to smaller trade sizes.