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dc.contributor.authorBurhop, Carstenen_US
dc.contributor.authorGelman, Sergeyen_US
dc.date.accessioned2010-06-09en_US
dc.date.accessioned2010-08-18T11:11:01Z-
dc.date.available2010-08-18T11:11:01Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/38855-
dc.description.abstractWe estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the 20th century were quite low and about comparable to transaction costs in modern markets. Nonetheless, transaction costs varied substantially over time and across securities, whereby the cross-sectional variation could be substantially explained by firm size and time variation by crises. Furthermore, we find surprising evidence that transaction costs decrease the expected excess returns. Thereby size and momentum premia are of expected signs while market beta has no significant influence on the cross-sectional return variation.en_US
dc.language.isoengen_US
dc.publisherMax Planck Inst. for Research on Collective Goods Bonnen_US
dc.relation.ispartofseriesPreprints of the Max Planck Institute for Research on Collective Goods 2010,20en_US
dc.subject.jelG12en_US
dc.subject.jelG14en_US
dc.subject.jelN23en_US
dc.subject.ddc330en_US
dc.subject.keywordTransaction Costsen_US
dc.subject.keywordEffective spreadsen_US
dc.subject.keywordEconomic Historyen_US
dc.subject.keywordGermanyen_US
dc.subject.stwBid-Ask Spreaden_US
dc.subject.stwBörsenkursen_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwTransaktionskostenen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwErwartungstheorieen_US
dc.subject.stwMarktliquiditäten_US
dc.subject.stwBörsengeschichteen_US
dc.subject.stwDeutschland (bis 1945)en_US
dc.titleTransaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913en_US
dc.typeWorking Paperen_US
dc.identifier.ppn627563600en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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