Access the full text.
Sign up today, get DeepDyve free for 14 days.
Kiyoshi Kato, Uri Loewenstein (1995)
The ex-dividend-day behavior of stock prices: the case of JapanReview of Financial Studies, 8
R. Merton (1987)
Presidential Address: A simple model of capital market equilibrium with incomplete information
Peter Knez, M. Ready (1996)
Estimating the Profits from Trading StrategiesReview of Financial Studies, 9
A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
R. Huang, H. Stoll (1996)
Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSEJournal of Financial Economics, 41
R. Rosett (1959)
A Statistical Model of Friction in EconomicsEconometrica, 27
Charles Lee, M. Ready (1991)
Inferring Trade Direction from Intraday DataJournal of Finance, 46
G. Benston, R. Hagerman (1974)
Determinants of bid-asked spreads in the over-the-counter marketJournal of Financial Economics, 1
D. Scott (1983)
The investor's guide to discount brokers
G. Maddala (1983)
Limited-dependent and qualitative variables in econometrics: Discriminant analysis
T. Copeland, D. Galai (1983)
Information Effects on the Bid‐Ask SpreadJournal of Finance, 38
Donald Keim, Ananth Madhavan (1998)
Execution Costs and Investment Performance: An Empirical Analysis of Institutional Equity Trades
L. Glosten, Paul Milgrom (1985)
Bid, ask and transaction prices in a specialist market with heterogeneously informed tradersJournal of Financial Economics, 14
D. Johnsen (1994)
Property Rights to Investment Research: The Agency Costs of Soft Dollar BrokerageYale Journal on Regulation, 11
H. Stoll (1989)
Inferring the Components of the Bid‐Ask Spread: Theory and Empirical TestsJournal of Finance, 44
Jonathan Karpoff, Ralph Walkling (1988)
Short-term trading around ex-dividend days: Additional evidenceJournal of Financial Economics, 21
Ravi Bhushan (1994)
An informational efficiency perspective on the post-earnings announcement driftJournal of Accounting and Economics, 18
L. Harris (1990)
Statistical Properties of the Roll Serial Covariance Bid/Ask Spread EstimatorJournal of Finance, 45
H. Stoll, R. Whaley (1983)
Transaction costs and the small firm effectJournal of Financial Economics, 12
M. Petersen, David Fialkowski (1994)
Posted versus effective spreads: Good prices or bad quotes?Journal of Financial Economics, 35
H. Demsetz (1968)
The Cost of TransactingQuarterly Journal of Economics, 82
J. Tobin (1958)
Estimation of Relationships for Limited Dependent VariablesEconometrica, 26
B. Dumas, E. Luciano (1991)
An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions CostsJournal of Finance, 46
Richard Roll (1984)
A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient MarketJournal of Finance, 39
R. Bhardwaj, L. Brooks (1992)
The January Anomaly: Effects of Low Share Price
Sanford Grossman, Merton Miller (1988)
Liquidity and Market StructureWharton School: Finance (Topic)
David Lesmond (1995)
Transaction costs and security return behavior : the effect on systematic risk estimation and firm size
Jennifer Conrad, Gautam Kaul, M. Nimalendran (1991)
Components of short-horizon individual security returnsJournal of Financial Economics, 29
G. Constantinides (1986)
Capital Market Equilibrium with Transaction CostsJournal of Political Economy, 94
R. Huang, H. Stoll (1994)
Market Microstructure and Stock Return PredictionsReview of Financial Studies, 7
S. Berkowitz, D. Logue, Eugene Noser (1988)
The Total Cost of Transactions on the NYSEJournal of Finance, 43
R. Wood, Thomas Mcinish, J. Ord (1985)
An Investigation of Transactions Data for NYSE StocksJournal of Finance, 40
Transaction costs are important for a host of empirical analyses from market efficiency to international market research. But transaction costs estimates are not always available, or where available, are cumbersome to use and expensive to purchase. We present a model that requires only the time series of daily security returns to endogenously estimate the effective transaction costs for any firm, exchange, or time period. The feature of the data that allows for the estimation of transaction costs is the incidence of zero returns. Incorporating zero returns in the return-generating process, the model provides continuous estimates of average round-trip transaction costs from 1963 to 1990 that are 1.2% and 10.3% for large and small decile firms, respectively. These estimates are highly correlated (85%), with the most commonly used transaction cost estimators.
The Review of Financial Studies – Oxford University Press
Published: Oct 1, 1999
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.