کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
961108 929784 2009 30 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Using matched samples to test for differences in trade execution costs
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Using matched samples to test for differences in trade execution costs
چکیده انگلیسی
This paper provides guidance on how to use matched samples to test for differences in trade execution costs (e.g., quoted and effective spreads). Based on extensive simulation results, we conclude that the best practice is to match firms one-to-one based on market capitalization and share price, and to test for differences between the matched pairs using a Wilcoxon signed rank test. We demonstrate that pre-sorting by industry groups or discarding apparent poor matches may reduce test power. We show that, in general, tests based on one-to-one nearest-neighbor matching have comparable power and less size distortion than alternatives that place more weight on distant firms. We find that matching without replacement can reduce size distortion when the control sample is relatively small. We highlight conditions under which matched sample estimation may be preferred to the corresponding event study.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 12, Issue 2, May 2009, Pages 173-202
نویسندگان
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