The Importance of Investor Heterogeneity And Financial Market Imperfections for
The Importance of Investor Heterogeneity And Financial Market Imperfections for
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To quickly assess the difficulty of the text, read a short excerpt:
24 implicit in this analysis is a holding period that corresponds to the data frequency of monthly or quarterly intervals. As in Constantinides (1986), for longer assumed holding periods transactions costs are incurred lesj frequently and hence have less effect on the volatility bounds.
B. Direct Evidence on Transactions Costs There is a small but growing body of direct evidence that measured transactions costs have explanatory power for asset prices. This line of research is of particular impo...rtance because of the ambiguity in the theoretical literature on the magnitude of the predicted effects. To date surprisingly few authors have taken this approach, perhaps because of the difficulty in obtaining reliable transactions cost data as discussed above.
To generate testable predictions about the effect of the bid/ask spread on asset returns, Amihud and Mendelson (1986) consider a model with stochastic liquidity shocks in which the mean time to portfolio liquidation varies across investor types.
What to read after The Importance of Investor Heterogeneity And Financial Market Imperfections for?
You can find similar books in the "Read Also" column, or choose other free books by John Eaton to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
24 implicit in this analysis is a holding period that corresponds to the data frequency of monthly or quarterly intervals. As in Constantinides (1986), for longer assumed holding periods transactions costs are incurred lesj frequently and hence have less effect on the volatility bounds.
B. Direct Evidence on Transactions Costs There is a small but growing body of direct evidence that measured transactions costs have explanatory power for asset prices. This line of research is of particular impo...rtance because of the ambiguity in the theoretical literature on the magnitude of the predicted effects. To date surprisingly few authors have taken this approach, perhaps because of the difficulty in obtaining reliable transactions cost data as discussed above.
To generate testable predictions about the effect of the bid/ask spread on asset returns, Amihud and Mendelson (1986) consider a model with stochastic liquidity shocks in which the mean time to portfolio liquidation varies across investor types.
What to read after The Importance of Investor Heterogeneity And Financial Market Imperfections for?
You can find similar books in the "Read Also" column, or choose other free books by John Eaton to read onlineMoreLess
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