-of-day inventory at an exogenously determined cost. Even though the inventory costs occur only at the end of the day, they impact …

liquidity globally, cannot net trades cleared in different CCPs and this increases their collateral costs. These costs are then …

shorting costs: implicit cost due to unavailability of stocks in the short-leg to sell short and loan fee actually paid to … sample period from January 2006 to December 2017. After adjustment for these shorting costs, long–short arbitrage profits are … thus reduced by almost 40 percent. Even after adjustment for risk, the proportion of shorting costs is also substantial. If …

friction costs LCH sellers $80 million daily …

fees and rebates, trading costs are statistically indistinguishable between maker-taker and inverted exchanges. This …

Illiquidity measures appear to be related to monthly realized returns but do they impact long-run costs of capital (CoC …

equity markets over a 19-year period, we measure the real-world trading costs and price impact function of a large trader. We … provide a novel description of how costs vary across trade type, stock characteristics, trade size, time, and exchanges … globally to test various theories of price impact. We find actual trading costs to be an order of magnitude smaller than …