文章基本信息

标题：Determinants of Transactions Costs in the Brazilian Stock Market
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作者：Antonio Zoratto Sanvicente
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2012
卷号：10
期号：2
页码：179-196
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：The Lesmond (2005) method for estimating transactions costs, based on a limited-dependent variable model, is used in order to test for the significance of plausible explanations for cross sectional cost differences. Variables such as liquidity, volatility, firm size, quality of corporate governance and participation in ADR programs are considered, in addition to the possible impact of the 2008 crisis. Daily data for 1999-2009 are used, covering at least 250 securities each year. The average total transaction cost declined from 2.95% in 1999 to 1.22% in 2009. Stock volatility and quality of corporate governance appear to be the most relevant factors associated with the measure of transactions cost.
其他摘要：The Lesmond (2005) method for estimating transactions costs, based on a limited-dependent variable model, is used in order to test for the significance of plausible explanations for cross sectional cost differences. Variables such as liquidity, volatility, firm size, quality of corporate governance and participation in ADR programs are considered, in addition to the possible impact of the 2008 crisis. Daily data for 1999-2009 are used, covering at least 250 securities each year. The average total transaction cost declined from 2.95% in 1999 to 1.22% in 2009. Stock volatility and quality of corporate governance appear to be the most relevant factors associated with the measure of transactions cost.
关键词：transactions cost;information asymmetry;stock trading;operational efficiency;limited dependent variables;custo de transação;assimetria de informação;negociação de ações;eficiência operacional;variáveis dependentes limitadas
其他关键词：Finance; Corporate Governance; Econometrics;transactions cost; information asymmetry; stock trading; operational efficiency; limited dependent variables;C24, C33, D82, G19