Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data

By Joel Hasbrouck. 2009

430 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3f887cf9455f78663dd1fe070b7930a2daabf1df

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Citations in the corpus

A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices (2017, neutral): “Other Bid-Ask Estimation Methods Using Daily Data This table summarizes the bid-ask estimators used in this paper, which are Roll (Roll; 1984), Hasbrouck (Gibbs; 2004, 2009), Holden, jointly with Goyenko, Holden, and Trzcinka (EffTick; 2009, 2009), Fong, Holden, and Trzcinka (FHT; 2017), and Corwin ”
The Illiquidity Premium: International Evidence (2015, neutral): “Fong, Holden, and Trzcinka (2011) find that across countries, Illiq is highly and significantly correlated with Kyle’s (1985) price impact measure, consistent with earlier findings for the U.S. by Amihud (2002), Hasbrouck (2009), and Goyenko, Holden, and Trzcinka (2009).”
Do Liquidity Measures Measure Liquidity (2009, positive): “Further, while a handful of studies, Lesmond, Ogden, and Trzcinka (1999), Lesmond (2005), and Hasbrouck (2009) , test whether some of the available liquidity proxies are related to liquidity benchmarks computed from transaction data, they construct the liquidity proxies on an annual or quarterly ba”
Idiosyncratic Risk, Long-Term Reversal, and Momentum (2010, positive): “Hasbrouck (2009) finds that the correlation of the Gibbs estimate with actual bid-ask spreads (which are not widely available) is 0.944.”
A flow-based explanation for return predictability (2012, neutral): “For a more detailed description of various measures of stock liquidity, see Hasbrouck (2009).”
Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions (2013, positive): “Following the methodology of Hasbrouck (2009), a stock must meet five criteria to be eligible: (1) it must be a common stock; (2) it must be present on the TAQ master file for the first and last date of the sample period; (3) it must have a primary listing on the NYSE, AMEX, or NASDAQ; (4) it…”
Institutional Trading and Stock Resiliency: Evidence from the 2007-2009 Financial Crisis (2013, neutral): “A pattern of declining trading costs is consistent with those reported in several recent studies on U.S. equities (see Hasbrouck, 2009; Chordia, Roll, and Subrahmanyam, 2011) and equity 13 markets outside the United States.”
What Are the Best Liquidity Proxies for Global Research (2017, neutral): “Following the methodology of Hasbrouck (2009), a stock must meet five criteria to be eligible: (i) it has to be a common stock, (ii) it has to be present on the first and last TAQ master file for the year, (iii) it has to have the NYSE, AMEX, or NASDAQ as the primary listing exchange, (iv) it does…”
New low-frequency spread measures (2009, positive): “Chordia et al. (2000), Sadka (2003), Acharya and Pedersen (2005), Fujimoto (2004), Hasbrouck (2009) , and others show that in recent U.S.”
Empirical cross-sectional asset pricing: a survey (2011, neutral): “Hasbrouck (2009) presents evidence of pricing of various, but not all, liquidity measures.”
Payoff complementarities and financial fragility: Evidence from mutual fund outflows $ (2010, neutral): “We resort to Hasbrouck (2006) for trading costs estimates at the fund level for domestic equity funds.”