文档介绍：Assessing the Quality of a
Security Market: A New
Approach to Transaction-Cost
Measurement
Joel Hasbrouck
New York University
I discuss a new method for measuring the devia-
tions between actual transaction prices and
implicit efficients prices. The approach poses
security transaction prices into random-walk and
ponents. The random--
ponent may be identified with the efficient price.
The ponent, the difference between
the e-price and the actual transaction price,
is termed the pricing error. Its dispersion is a nat-
ural measure of market quality. I describe prac-
tical strategies for estimating these quantities. For
a sample of NYSE stocks, the average pricing error
standard deviation estimate is roughly per-
cent of the stock price. If the pricing error is nor-
mally distributed and if it is always a positive cost
incurred by the transaction initiators, the corre-
spending average transaction cost for these trad-
ers is percent of the stock price. The disper-
sion of the pricing error is also found to be elevated
at the beginning and end of the trading session,
ments and suggestions, 1 am indebted to the editors (Michael Gib-
bons and Chester Spatt), the two referees (James Stock and Lawrence Harris),
Yakov Amihud, Fischer Black, Richard Green, Maureen O’Hara, Robert
Schwartz, and workshop participants at Berkeley, Dartmouth, MIT. New York
University, Rutgers University. Stanford University, and the Securities and
mission. I am especially grateful to John Campbell for bring-
ing the techniques of random-walk position to my attention. All errors
are my own responsibility. I am indebted to the New York Stock Exchange
and the Institute for Quantitative Research in Finance for financial support.
ments and opinions contained in this article are those of the author
only. In particular, the views expressed here do not necessarily reflect those
of the directors, members, or officers of the New York Stock Exchange