Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
提出一种基于日度收盘价的吉布斯估计法来估算股票交易的有效成本，验证显示与高频数据估计高度相关，并发现有效成本与股票收益正相关，尤其在1月效应中显著。
ABSTRACT The effective cost of trading is usually estimated from transaction‐level data. This study proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the daily Gibbs estimate achieves a correlation of 0.965 with the transaction‐level estimate. When the Gibbs estimates are incorporated into asset pricing specifications over a long historical sample (1926 to 2006), the results suggest that effective cost (as a characteristic) is positively related to stock returns. The relation is strongest in January, but it appears to be distinct from size effects.