Chen, Zhiwu; Stanzl, Werner; Watanabe, Masahiro - School of Management, Yale University - 2002
This paper investigates whether one can profit from the size, book-to-market, or momentum anomaly, when price-impact costs are taken into account. A non-linear price-impact function is individually estimated for 5173 stocks to assess the magnitude of trading costs. Compared to constant...
