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The Total Cost of Transactions on the NYSE

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Author Info
 Berkowitz, Stephen A
Logue, Dennis E
Noser, Eugene A, Jr
Abstract

A measure of execution on market impact cost is developed; it is the difference between a transaction price and th e volume weighted average price for that day. Fourteen thousand insti tutional trades are examined. Market impact costs average five basis points. Commission costs average eighteen basis points. Total costs a verage twenty-three basis points. Total costs vary only slightly acro ss brokers and vary greatly across money managers. There is no trade- off between commission costs and market impact costs. Copyright 1988 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 43 (1988)
Issue (Month): 1 (March)
Pages: 97-112
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Handle: RePEc:bla:jfinan:v:43:y:1988:i:1:p:97-112

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  1. C. V. Helliar, R. Michaelson, D. M. Power, C. D. Sinclair, 2000. "Using a portfolio management game (Finesse) to teach finance," Accounting Education, Taylor and Francis Journals, vol. 9(1), pages 37-51, March. [Downloadable!] (restricted)
  2. Michael Goldstein & Paul Irvine & Eugene Kandel & Zvi Wiener, 2004. "Brokerage Commissions and Institutional Trading Patterns," Discussion Paper Series dp356, Center for Rationality and Interactive Decision Theory, Hebrew University, Jerusalem. [Downloadable!]
  3. Teo Jasic & Douglas Wood, 2004. "The profitability of daily stock market indices trades based on neural network predictions: case study for the S&P 500, the DAX, the TOPIX and the FTSE in the period 1965-1999," Applied Financial Economics, Taylor and Francis Journals, vol. 14(4), pages 285-297, January. [Downloadable!] (restricted)
  4. Sven Bouman & Ben Jacobsen, 2002. "The Halloween Indicator, "Sell in May and Go Away": Another Puzzle," American Economic Review, American Economic Association, vol. 92(5), pages 1618-1635, December. [Downloadable!]
  5. Ana Cristina Silva & Gonzalo Chavez, 2004. "Trading Costs for Emerging Market Stocks," Working Papers Economia wp04-04, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
  6. Anna Krivelyova & Cesare Robotti, 2003. "Playing the field: Geomagnetic storms and international stock markets," Working Paper 2003-5a, Federal Reserve Bank of Atlanta. [Downloadable!]
  7. Rakesh Bharati & Manoj Gupta, 1992. "Asset Allocation and Predictability of Real Estate Returns," Journal of Real Estate Research, American Real Estate Society, vol. 7(4), pages 469-484. [Downloadable!]
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