A Cross-Market Comparison of Institutional Equity Trading Costs / Louis K. C. Chan, Josef Lakonishok.

Format:

Book

Author/Creator:

Chan, Louis K. C.

Contributor:

National Bureau of Economic Research.

Lakonishok, Josef.

Series:

Working Paper Series (National Bureau of Economic Research) no. w5374.

NBER working paper series no. w5374

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1995.

Summary:

We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and on Nasdaq for institutional investors. The differences in cost generally conform to each market's area of specialization. Controlling for firm size, trade size and the money management firm's identity, costs are lower on Nasdaq for trades in comparatively smaller firms. For the smallest firms, the cost advantage under a pre-execution benchmark is 0.68 percent. However, trading costs for the larger stocks are lower on NYSE. For the largest stocks, costs are lower by 0.48 percent on NYSE. Given the extreme difficulty of controlling for variables other than market structure, however, comparisons of costs should be interpreted with extreme caution.

Notes:

Print version record

December 1995.