1928

(Does NOT indicate transaction costs - focused on behavior return data sets)
"Tests of the Efficient Market Model Using Aggregate Odd-Lot Data" Michael S. Rozeff, SUNY at Buffalo - Department of Financial & Managerial Economics, June 1975


At a larger odd-lot house, the mimimum cost to rebalance a portfolio of 25 issues (*$40/Avg Stock Price) = $1,000 Account), for example buying and selling 10 stocks (20) or 40% turnover, was $100.  

Annual rebalancing was cost prohibitive, even more so at boiler rooms where commissions were certainly higher.   


Citation: The Journal of Economic History, Vol. 67, Issue 03, Sept. 2007, pp 705-739

"In 1928 several odd-lot houses raised their minimum commissions. “Because of pressure
on small-lot business, 75 of the larger firms yesterday advanced their minimum commissions to $5 for each transaction.” See Commercial and Financial Chronicle, 16 February 1928. These firms accounted for only a modest share of the securities markets."

Citation: A Century of Stock Market Liquidity and Trading Costs, Charles M. Jones, Columbia Business School - Finance and Economics: May 23, 2002 (Appendix 2)

10/30/24 to 1/3/38
Share price                             Minimum commission per 100 shares
$1 to $9.875                           $7.50
$10 to $99.875                      $12.50 + 0.1% of amount traded, rounded down to the nearest $2.50
$100 to $199.875                  $25
$200 and over                       $10 + 0.1% of amount traded, rounded down to the nearest $5