Information vs. Entry Costs: What Explains U.S. Stock Market Evolution?

Joel Peress

Journal of Financial and Quantitative Analysis, 2005, vol. 40, issue 3, 563-594

Abstract: I investigate whether changes in stock market participation costs can explain the long-term increase in the number of U.S. stockholders. I separate these costs into two components: an information cost (the cost of collecting market information), and an entry cost (all other costs, including commissions and fees), and disentangle their general equilibrium implications in a noisy rational expectations economy. While a falling information cost cannot explain the observed increase in stock market participation, a falling entry cost can account for this plus several other features of the U.S. economy, including the falling equity premium, rising return variances, and the boom in passive relative to active investing.

Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:40:y:2005:i:03:p:563-594_00

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().