Trading Costs and Returns for US Equities: Estimating Effective Costs from Daily Data

• 成果类型: Article
• 署名作者: Hasbrouck, Joel
• 署名单位: New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01469.x
• 发表日期: 2009
• 页码: 1445-1477
• 关键词: BID-ASK SPREAD; Market microstructure; liquidity; NYSE; illiquidity; volume; RISK

摘要

The effective cost of trading is usually estimated from transaction-level data. This study proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the daily Gibbs estimate achieves a correlation of 0.965 with the transaction-level estimate. When the Gibbs estimates are incorporated into asset pricing specifications over a long historical sample (1926 to 2006), the results suggest that effective cost (as a characteristic) is positively related to stock returns. The relation is strongest in January, but it appears to be distinct from size effects.