We show that the noninformation component of trading costs is priced in thecross-section of stock returns using intraday data for NYSE/AMEX stocks. Moreimportantly, we show that the noninformation component is much larger and morestrongly related to stock returns than is the adverse-selection component,indicating that the noninformation component plays a more important role inasset pricing than does the adverse-section component. We conduct a variety ofrobustness tests and show that our main results hold for different estimationmethods, measures of the adverse-selection cost, subsample periods, and controlvariables. We offer plausible explanations for these results.

中文翻译：

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交易的非信息成本及其在资产定价中的相对重要性

我们显示，使用NYSE / AMEX股票的当日数据，交易成本的非信息部分在股票收益的横截面中进行定价。更重要的是，我们显示非信息部分比逆向选择部分更大，并且与股票收益相关性更高，这表明非信息部分在资产定价中比逆向部分更重要。我们进行了各种稳健性测试，结果表明我们的主要结果适用于不同的估计方法，逆向选择成本的度量，子采样周期和控制变量。对于这些结果，我们提供了合理的解释。