オガワ　タカユキ   OGAWA Takayuki
  小川　貴之
   所属   大阪経済大学  経済学部 経済学科
   職種   教授
言語種別 英語
発行・発表の年月 2025/01/21
形態種別 その他
標題 Brokerage Commissions in an Uncertain Stock Market
執筆形態 共著
掲載誌名 SSRN Working Paper
掲載区分国外
出版社・発行元 SSRN (Social Science Research Network)
総ページ数 45
著者・共著者 Takayuki Ogawa, Jun Sakamoto, and Makoto Shimoshimizu
概要 This study theoretically and empirically investigates how Knightian uncertainty concerning stock returns influences brokerage commissions via investors' stock demand. We model a stock market wherein oligopolistic brokers mediate financial transactions among uncertainty-averse investors. We find that a deterioration of fundamentals about stock returns reduces the equilibrium commission, whereas increased uncertainty raises it. Using panel data for Canada, Japan, the United Kingdom, and the United States from 2010:Q4 to 2021:Q4, we present empirical results that support our theoretical findings.
DOI https://dx.doi.org/10.2139/ssrn.5105107