Institutional Equity Trading Costs: NYSE Versus Nasdaq
比较了机构投资者在纽交所和纳斯达克的执行成本（市场冲击加佣金），发现成本差异与各市场专长一致：小公司股票在纳斯达克成本更低，大公司股票在纽交所成本更低。
ABSTRACT We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and 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, while costs for trading the larger stocks are lower on NYSE. The cost differences estimated from a regression model are, however, sensitive to the choice of time period.