1,500 Trade Size (SMM) Small-Cap Stocks (Russell 2000) 50 75 Trade Size (SMM) Average Characteristic (Weighted by Benchmark Weight) Large-Cap (S8cP 500) Small-Cap (Rusell 2000)   20-day volatility (annualized) Average daily volume traded Average price Proportional quoted half-spread 56.4% $363 million $37.67 7 basis points 63.1% $4 million $19.93 29 basis points FIGURE 23.1 Transaction Costs for Large-Cap versus Small-Cap Stocks