Transactions costs and holding periods for common stocks

Journal of Finance

Volumn 52, Issue 1, 1997, Pages 309-325

  Atkins, Allen B ^a   Dyl, Edward A ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040833102     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.2307/2329565     Document Type: Article

References (34)

1. Amihud, Yakov, and Haim Mendelson, 1986, Asset pricing and the bid-ask spread, Journal of Financial Economics 17, 223-249.
2. Amihud, Yakov, and Haim Mendelson, 1989, The effects of beta, bid-ask spread, residual risk, and size on stock returns, Journal of Finance 44, 479-486.
3. Atkins, Allen B., and Edward A. Dyl, 1990, Price reversals, bid-ask spreads, and market efficiency, Journal of Financial and Quantitative Analysis 25, 535-547.
4. Atkins, Allen B., and Edward A. Dyl, 1997, Market structure and reported trading volume: Nasdaq versus the NYSE, Journal of Financial Research, forthcoming.
5. Bagehot, Walter, 1971, The only game in town, Financial Analysts Journal 27, 12-14.
6. Barry, Christopher B., and Stephen J. Brown, 1984, Differential information and the small firm effect, Journal of Financial Economics 13, 283-294.
7. Basu, Sanjoy, 1983, The relationship between earnings' yield, market value, and return for NYSE common stocks: Further evidence, Journal of Financial Economics 12, 129-156.
8. Benston, George J., and Robert L. Hagerman, 1974, Determinants of the bid-ask spreads in the over-the-counter market, Journal of Financial Economics 1, 353-364.
9. Bhide, Amar, 1993, The hidden costs of stock market liquidity, Journal of Financial Economics 34, 31-51.
10. Branch, Ben, and Walter Freed, 1977, Bid-ask spreads on the AMEX and the big board, Journal of Finance 32, 159-164.
11. Brown, Philip, Donald B. Keim, Allan W. Kleidon, and Terry A. Marsh, 1983, Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence, Journal of Financial Economics 12, 105-127.
12. Chen, Nai-fu, and Raymond Kan, 1989, Expected return and the bid-ask spread, Working paper, University of Chicago.
13. Constantinides, George, 1986, Capital market equilibrium with transaction costs, Journal of Political Economy 94, 842-862.
14. Demsetz, Harold, 1968, The cost of transacting, Quarterly Journal of Economics 82, 33-53.
15. Eleswarapu, Venkat, and Marc R. Reinganum, 1993, The seasonal behavior of the liquidity premium in asset pricing, Journal of Financial Economics 34, 373-386.
16. Epps, Thomas W., 1976, The demand for brokerage services: The relation between security trading volume and transaction costs, Bell Journal of Economics 7, 163-195.
17. Fortin, Richard D., R. Corwin Grube, and O. Maurice Joy, 1989, Seasonality in Nasdaq dealer spreads, Journal of Financial and Quantitative Analysis 24, 395-407.
18. Granger, Clive W. J., 1969, Investigating causal relations by econometric models and cross-spectral models, Econometrica 37, 424-438.
19. Grundfest, Joseph A., and John B. Shoven, 1991, Adverse implications of a securities transactions excise tax, Journal of Accounting, Auditing and Finance 6, 409-442.
20. Hamilton, James L., 1976, Competition, scale economies, and transaction cost in the stock market, Journal of Financial and Quantitative Analysis 9, 779-802.
21. Jarrell, Greg A., 1984, Changes at the exchange: The causes and effects of deregulation, Journal of Law & Economics 27, 273-312.
22. Judge, George G., R. Carter Hill, William E. Griffiths, Helmut Lütkepohl, and Tsoung-Chao Lee, 1988, Introduction to the theory and practice of econometrics, 2nd ed. (John Wiley & Sons, Inc.).
23. Karpoff, Jonathan M., 1986, A theory of trading volume, Journal of Finance 41, 1069-1087.
24. Keim Donald B., 1989, Trading patterns, bid-ask spreads, and estimated security returns: The case of common stocks at calendar turning points, Journal of Financial Economics 25, 75-98.
25. Kennedy, Peter, 1992, A guide to econometrics, 3rd ed. (The MIT Press).
26. Lakonishok, Josef, and Alan C. Shapiro, 1986, Systematic risk, total risk, and size as determinants of stock market returns, Journal of Banking and Finance 10, 115-132.
27. Marsh Terry and Kevin Rock, 1986, Exchange listing and liquidity: A comparison of the American stock exchange with the Nasdaq national market system, American stock exchange transactions data research project no. 2, January. Ramanathan, Ramu, 1992, Introductory econometrics, 2nd ed. (Harcourt Brace Jovanovich).
28. Schwert, G. William, and Paul J. Seguin, 1993, Securities transaction taxes: An overview of costs, benefits and unresolved questions, Financial Analysts Journal 49, 27-35.
29. Stiglitz, Joseph E., 1989, Using tax policy to curb speculative short-term trading, Journal of Financial Services Research 3, 101-115.
30. Stoll, Hans R., 1978, The pricing of security dealer services: An empirical study of Nasdaq stocks, Journal of Finance 33, 1153-1172.
31. Stoll, Hans R., and Robert Whaley, 1983, Transaction costs and the small firm effect, Journal of Financial Economics 12, 57-80.
32. Summers, Lawrence H., and Victoria P. Summers, 1989, When financial markets work too well: A cautious case for a securities transactions tax, Journal of Financial Services Research 3, 261-286.
33. Tinic, Seha M., 1972, The economics of liquidity services, Quarterly Journal of Economics 86, 70-93.
34. Umlauf, Steven R., 1993, Transactions taxes and stock market behavior: The Swedish experience, Journal of Financial Economics 33, 227-240.