全套美国投资哲学,过千张pdf版ppttradingcost

AswathDamodaran1TradingCostsandTaxesAswathDamodaran2TheComponentsofTradingCostsQBrokerageCost:Thisisthemostexplicitofthecoststhatanyinvestorpaysbutitisbyfarthesmallestcomponent.QBid-AskSpread:Thespreadbetweenthepriceatwhichyoucanbuyanasset(thedealer’saskprice)andthepriceatwhichyoucansellthesameassetatthesamepointintime(thedealer’sbidprice).QPriceImpact:Thepriceimpactthataninvestorcancreatebytradingonanasset,pushingthepriceupwhenbuyingtheassetandpushingitdownwhileselling.QOpportunityCost:Thereistheopportunitycostassociatedwithwaitingtotrade.Whilebeingapatienttradermayreducetheprevioustwocomponentsoftradingcost,thewaitingcancostprofitsbothontradesthataremadeandintermsoftradesthatwouldhavebeenprofitableifmadeinstantaneouslybutwhichbecameunprofitableasaresultofthewaiting.AswathDamodaran3SimpleEvidenceofaTradingCostDragQActivemoneymanagerstradebecausetheybelievethatthereisprofitintrading,andthereturntoanyactivemoneymanagerhasthreeingredientstoit:Returnonactivemoneymanager=ExpectedReturnRisk+Returnfromactivetrading-TradingcostsQTheaverageactivemoneymanagermakesabout1%lessthanthemarket.Ifweassumethatthereturntoactivetradingiszeroacrossallactivemoneymanagers,thetradingcostshavetoberoughly1%.Ifwebelievethatthereisapayofftoactivetrading,thetradingcostsmustbemuchhigher.AswathDamodaran4Whyisthereabid-askspread?QInmostmarkets,thereisadealerormarketmakerwhosetsthebid-askspread,andtherearethreetypesofcoststhatthedealerfacesthatthespreadisdesignedtocover.•Thefirstistheriskcostofholdinginventory;•thesecondisthecostofprocessingordersand•thefinalcostisthecostoftradingwithmoreinformedinvestors.QThespreadhastobelargeenoughtocoverthesecostsandyieldareasonableprofittothemarketmakeronhisorherinvestmentintheprofession.AswathDamodaran5TheMagnitudeoftheSpreadFigure5.2:PricesandSpreadsbyMarketCap$0.00$10.00$20.00$30.00$40.00$50.00$60.00MarketCapitalizationClassPrice&Spread0.00%1.00%2.00%3.00%4.00%5.00%6.00%7.00%Spreadas%ofPriceAveragePriceAverageSpreadSpread/PriceAveragePrice$4.58$10.30$15.16$18.27$21.85$28.31$35.43$44.34$52.40AverageSpread$0.30$0.42$0.46$0.34$0.32$0.32$0.27$0.29$0.27Spread/Price6.55%4.07%3.03%1.86%1.46%1.13%0.76%0.65%0.52%Smallest2345678LargestAswathDamodaran6MoreEvidenceofBid-AskSpreadsQThespreadsinU.S.governmentsecuritiesaremuchlowerthanthespreadsontradedstocksintheUnitedStates.Forinstance,thetypicalbid-askspreadonaTreasurybillislessthan0.1%oftheprice.QThespreadsoncorporatebondstendtobelargerthanthespreadsongovernmentbonds,withsafer(higherrated)andmoreliquidcorporatebondshavinglowerspreadsthanriskier(lowerrated)andlessliquidcorporatebonds.QThespreadsinnon-U.S.equitymarketsaregenerallymuchhigherthanthespreadsonU.S.markets,reflectingthelowerliquidityinthosemarketsandthesmallermarketcapitalizationofthetradedfirms.QWhilethespreadsinthetradedcommoditymarketsaresimilartothoseinthefinancialassetmarkets,thespreadsinotherrealassetmarkets(realestate,art...)tendtobemuchlarger.AswathDamodaran7TheDeterminantsoftheBid-AskSpreadQStudiesbyTinicandWest(1972),Stoll(1978)andJegadeeshandSubrahmanyam(1993)findthatspreadsasapercentageofthepricearecorrelatednegativelywiththepricelevel,volumeandthenumberofmarketmakers,andpositivelywithvolatility.Eachofthesefindingsisconsistentwiththetheoryonthebid-askspread.QAstudybyKothareandLaux,thatlookedataveragespreadsontheNASDAQalsolookedatdifferencesinbid-askspreadsacrossstocksontheNASDAQ.Inadditiontonotingsimilarcorrelationsbetweenthebid-askspreads,pricelevelandtradingvolume,theyuncoveredaninterestingnewvariable.Theyfoundthatstockswhereinstitutionalactivityincreasedsignificantlyhadthebiggestincreaseinbid-askspreads.Itmightalsoreflecttheperceptiononthepartofmarketmakersthatinstitutionalinvestorstendtobeinformedinvestorswithmoreorbetterinformation.AswathDamodaran8RoleofSpreadinInvestmentStrategiesQStrategiesthatinvolveinvestinginsmall-capstocksorlow-pricesstockswillbeaffecteddisproportionatelybythecostscreatedbybid-askspreads.QAsanexample,considerthestrategyofbuying“losers”.DeBondtandThaler(1985)presentevidencethatastrategyofbuyingthestockswhichhavethemostnegativereturnsoverthepreviousyearandholdingforafive-yearperiodearnssignificantexcessreturns.Afollow-upstudy,however,notedthatmanyofthese“losers”werelow-pricedstocks,andthatputtinginaconstraintthatthepricesbegreaterthan$10onthisstrategyresultedinasignificantdropintheexcessreturns.•DoestheStockMarketOverreact?byF.MDeBondtandR.ThalerinJournalofFinance(July1985)AswathDamodaran9Whyisthereapriceimpact?QThefirstisthatmarketsarenotcompletelyliquid.Alargetradecancreateanimbalancebetweenbuyandsellorders,andtheonlywayinwhichthisimbalancecanberesolvediswithapricechange.Thispricechange,thatarisesfromlackofliquidity,willgenerallybetemporaryandwillbereversedasliquidityreturnstothemarket.QThesecondreasonforthepriceimpactisinformational.Alargetradeattractstheattentionofotherinvestorsinthatassetmarketbecauseifmightbemotivatedbynewinformationthatthetraderpossesses.Thispriceeffectwillgenerallynotbetemporary,especiallywhenwelookatalargenumberofstockswheresuchlargetrad