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Presidential Address: Friction
Abstract
The sources of trading friction are studied, and simple, robust empirical measures of friction are provided. Seven distinct measures of trading friction are computed from transactions data for 1,706 NYSE/AMSE stocks and 2,184 Nasdaq stocks. The measures provide insights into the magnitude of trading costs, the importance of informational versus real frictions, and the role of market structure. The degree to which the various measures are associated with each other and with trading characteristics of stocks is examined.
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Cites
Public Regulation of the Securities Markets
Stigler, G. J. (1964) · The Journal of Business · doi:10.1086/294677 · Cited by 679
Cited by
Liquidity and Expected Returns: Lessons from Emerging Markets
Bekaert, G., Harvey, C. R., & Lundblad, C. (2007) · Review of Financial Studies · doi:10.1093/rfs/hhm030 · Cited by 1,078
Corporate Yield Spreads and Bond Liquidity
CHEN, L., LESMOND, D. A., & WEI, J. (2007) · The Journal of Finance · doi:10.1111/j.1540-6261.2007.01203.x · Cited by 1,078
The information content of mandatory risk factor disclosures in corporate filings
Campbell, J. L., Chen, H., Dhaliwal, D. S., Lu, H.-M., & Steele, L. B. (2014) · Review of Accounting Studies · doi:10.1007/s11142-013-9258-3 · Cited by 923
Transparency, Liquidity, and Valuation: International Evidence on When Transparency Matters Most
LANG, M., LINS, K. V., & MAFFETT, M. (2012) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2012.00442.x · Cited by 821
Is market fragmentation harming market quality?
O'Hara, M., & Ye, M. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.02.006 · Cited by 578
Metadata
- Authors
- Stoll, H. R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-08
- Volume
- 55
- Issue
- 4
- Pages
- 1479-1514
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2089901068
- Cited by
- 679
- References
- 1
- FWCI
- 16.56
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
