Equity Trading Costs by Hans R. Stoll

By Hans R. Stoll

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Market-impact costs measured in the small present a number of difficulties. The trade price must be compared to some standard price, which is difficult to choose. The direction of a price impact depends on whether the buyer or seller is the active party, something nearly impossible to determine. Measuring trading costs in the large avoids some of these difficulties but poses others. In particular, trading costs based on securities firms' revenues cannot provide much information about differences in trading costs across stocks or across different traders.

Commissions and clearance paid to all other brokers) + a(1IA. C. All other securities commissions by firms not carrying public accounts or clearing) - k**(IIA. 12. 90; the remaining proportion is assumed to be for nonequity commissions); k* = a[(II. D)/(II. E)], fraction of total commissions of carryinglclearing firms for OTC equity trading; and k** = a[(IIA. D)], fraction of total commissions of noncanyingl nonclearing firms for transactions OTC. Commissions for listed equity executed OTC are not reported because volume and OTC market value do not include listed securities.

1981. " Financial Analyski Journal (September/October):57-60. 1 G d , J. , Jr. 1989. " Working paper, Harvard University. George, Thomas, Gautam Kaul, and M. N i e n d r a n . 1991. " Review of Financial Studies 4623-56. Gillis, John. 1985. " Financial Analysts Journal (July/ August): 16-17. Glosten, Lawrence R. 1989. " Journal of Business (April):211-35. , and Lawrence Hams. 1988. "Estimating the Components of the Bid-Ask Spread. " Journal of Financial Economics (May): 123-42. , and Paul R. Milgrom.

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