TY  - JOUR
AU  - Chan,Louis K. C.
AU  - Lakonishok,Josef
TI  - A Cross-Market Comparison of Institutional Equity Trading Costs
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5374
PY  - 1995
Y2  - December 1995
UR  - http://www.nber.org/papers/w5374
L1  - http://www.nber.org/papers/w5374.pdf
N1  - Author contact info:
Louis Chan
Department of Finance
University of Illinois
113 Commerce West, MC 706
1206 S. Sixth
Champaign, IL 61820
Tel: 217/333-6391
E-Mail: l-chan2@uiuc.edu

Josef Lakonishok
University of Illinois, Department of Finance
College of Commerce & Business Administration
1206 S. Sixth Street
Champaign, IL 61820
Tel: 217/333-7185
Fax: 217/244-1151
E-Mail: jlakonishok@yahoo.com
AB  - We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and on Nasdaq for institutional investors.  The differences in cost generally conform to each market's area of specialization.  Controlling for firm size, trade size and the money management firm's identity, costs are lower on Nasdaq for trades in comparatively smaller firms.  For the smallest firms, the cost advantage under a pre-execution benchmark is 0.68 percent.  However, trading costs for the larger stocks are lower on NYSE.  For the largest stocks, costs are lower by 0.48 percent on NYSE.  Given the extreme difficulty of controlling for variables other than market structure, however, comparisons of costs should be interpreted with extreme caution.
ER  -