A New Estimate of Transaction Costs
A New Estimate of Transaction Costs
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DOI：
10.1093/rfs/12.5.1113
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发表时间：
1999-10
影响因子：
8.2
通讯作者：
David A. Lesmond;Joseph P. Ogden;Charles Trzcinka
中科院分区：
文献类型：
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作者：
David A. Lesmond;Joseph P. Ogden;Charles Trzcinka
交易成本对于从市场效率到国际市场研究的大量实证分析都很重要。但是，交易成本估计数并不总是可用的，或者即使可用，使用起来也很麻烦，购买起来也很昂贵。我们提出了一个模型，只需要时间序列的每日证券收益率内生地估计任何公司，交易所，或时间段的有效交易成本。允许估计交易成本的数据特征是零回报的发生率。假设收益率为零，该模型提供了从1963年到1990年的平均往返交易成本的连续估计，对于大型和小型十分位数公司，分别为1.2%和10.3%。这些估计与最常用的交易成本估计器高度相关（85%）。牛津大学出版社代表金融研究学会在其期刊《金融研究评论》上发表的文章。
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. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.