The Quarterly Journal of Economics · 1968 · 1.9K citations · 0 references
BusinessBusiness EconomicsAuction TheoryFinancial EconomicsPricing TheoryTransaction Cost EconomicsBid-ask Spread AnalysisBid-ask Spread ReactionStatistical Comparison Of Measurement ResultsTrading Cost AnalysisTransaction Cost AccountingTransaction Cost IncidenceTransaction Cost MeasurementTransaction Cost Models
The paper defines and measures transaction costs on the NYSE, focusing on the ask‑bid spread and transaction rate. The authors present statistical analyses and interpretive commentary on transaction cost data. The study includes an introduction and appendices I and II.
Introduction, 33. — The definition and measurement of transaction cost on the New York stock exchange, 35. — The determination of the ask-bid spread, 40. — The determination of the transaction rate, 45. — Statistical results, 46. — Summary and comments, 50. — Appendix I, 52. — Appendix II, 53.