The Noninformation Cost of Trading and Its Relative Importance in Asset Pricing
利用纽约证券交易所和美国证券交易所股票的日内数据，发现交易成本中的非信息成分在股票收益横截面中被定价，且其规模和与收益的关联性远大于逆向选择成分，表明非信息成分在资产定价中更重要。
We show that the noninformation component of trading costs is priced in the cross-section of stock returns using intraday data for NYSE/AMEX stocks. More importantly, we show that the noninformation component is much larger and more strongly related to stock returns than is the adverse-selection component, indicating that the noninformation component plays a more important role in asset pricing than does the adverse-section component. We conduct a variety of robustness tests and show that our main results hold for different estimation methods, measures of the adverse-selection cost, subsample periods, and control variables. We offer plausible explanations for these results. Received December 27, 2014; accepted January 11, 2016 by Editor Maureen O’Hara.