The Total Cost of Transactions on the NYSE
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 43 (1988)
Issue (Month): 1 (March)
|Contact details of provider:|| Web page: http://www.afajof.org/|
More information through EDIRC
|Order Information:||Web: http://www.afajof.org/membership/join.asp|
When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:43:y:1988:i:1:p:97-112. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.