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Andrew Chen, Ehlim Kim, Stanley Kon (1975)
Cash demand, liquidation costs and capital market equilibrium under uncertaintyJournal of Financial Economics, 2
D. Daniel, William Longbrake, Neil Murphy (1973)
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Statistical Cost Analysis
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T. Epps (1976)
The Demand for Brokers' Services: The Relation Between Security Trading Volume and Transaction CostThe Bell Journal of Economics, 7
H. Demsetz (1968)
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A. Buse (1973)
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E. Zabel (1973)
Consumer Choice, Portfolio Decisions, and Transaction CostsEconometrica, 41
Charles Henning, F. Bell, Neil Murphy (1969)
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R. West, S. Tiniç (1972)
The economics of the stock marketThe Economic Journal, 82
M. Brennan (1975)
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I. INTRODUCTION COMMISSION COSTS of trading common stocks are incorporated into various models of portfolio formation and revision. Brennan [4] found that fixed transactions costs alter the selection of securities with limited wealth levels. Smith [14] presents a set of rules for trading over- and under-priced securities, given commission costs; Francis and Archer [10] show the effect of transactions costs on the securities and capital market lines; Zabel [16], Chen [6] and Epps [9] show theoretically that transactions costs modify optimal consumption and portfolio decisions. Clearly, commission costs influence security returns, selection, and pricing, and the structure of transactions costs is a component in the formation of security portfolios. Commission costs are significant not only to portfolio managers and traders but also to economists studying securities and brokerage firms. Far from being the neglected subject observed by Demsetz [8] 11 years ago, commission costs are now common in realistic random walk and portfolio formation studies. This paper is an empirical study of commission cost structures for institutional traders, during the transition period from "fixed" to "negotiated" commission prices around May 1, 1975. The specific objectives of the research are two-fold: (1) to evaluate the effect of changing from
The Journal of Finance – Wiley
Published: May 1, 1978
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