Despite abundant literature on transaction costs, there is little comprehensive analysis available regarding what the transaction is or how it works. Drawing on both Old and New Institutional Economics, and on a variety of interdisciplinary sources, this monograph traces the history of the...

Market microstructure invariance (MMI) stipulates that trading costs of financial assets are driven by the volume and volatility of bets, that are, transactions intended to produce idiosyncratic gains based on investors’ beliefs. With futures transactions data, we estimate bet volume as the...

We analyze the effect of transparency of past trading volumes in markets where an informed long-lived seller can repeatedly trade with short-lived uninformed buyers. Transparency allows buyers to observe previously sold quantities. In markets with intra-period monopsony (single buyer each...

The structure of supply chains has important implications for the propagation of shocks and the dispersion of welfare gains across space. Using transaction-level tax records, we study over four million firm-to-firm relationships of 57,500 formal private sector firms in Kenya. We find that the...

We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor’s optimal strategy. With reasonably calibrated parameters, we show that counter-cyclical transaction costs substantially raise liquidity premium while procyclical dividends...