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Heterogeneous Time Varying Transaction Costs and Asset Pricing in International Equity Markets

Gregoriou, Andros - 2010

In this paper, we examine the time variation in transaction costs relative to excess returns, in a panel consisting of 10 international equity indices over the time period 1984–2005. This is undertaken by extending the consumption CAPM (CCAPM) model proposed by Campbell and Shiller (Rev....

Persistent link: https://www.econbiz.de/10013142109