Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/38855 
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dc.contributor.authorBurhop, Carstenen
dc.contributor.authorGelman, Sergeyen
dc.date.accessioned2010-06-09-
dc.date.accessioned2010-08-18T11:11:01Z-
dc.date.available2010-08-18T11:11:01Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aMax Planck Institute for Research on Collective Goods |cBonnen
dc.relation.ispartofseries|aPreprints of the Max Planck Institute for Research on Collective Goods |x2010,20en
dc.subject.jelG12en
dc.subject.jelG14en
dc.subject.jelN23en
dc.subject.ddc330en
dc.subject.keywordTransaction Costsen
dc.subject.keywordEffective spreadsen
dc.subject.keywordEconomic Historyen
dc.subject.keywordGermanyen
dc.subject.stwBid-Ask Spreaden
dc.subject.stwBörsenkursen
dc.subject.stwWertpapierhandelen
dc.subject.stwTransaktionskostenen
dc.subject.stwKapitalertragen
dc.subject.stwErwartungstheorieen
dc.subject.stwMarktliquiditäten
dc.subject.stwBörsengeschichteen
dc.subject.stwDeutschland (bis 1945)en
dc.titleTransaction costs, liquidity and expected returns at the Berlin stock exchange, 1892-1913-
dc.typeWorking Paperen
dc.identifier.ppn627563600en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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