This paper uses proprietary data from a leading intermediary to understand the magnitude and determinants of transaction costs in the secondary market for private equity stakes. Most transactions occur at a discount to net asset value. Buyers average an annualized public market equivalent of...

We further the understanding of cross-sectional differences in trading activity. Specifically, we link a firm's visibility, as measured by advertising, to its stock turnover. First, we suggest three mechanisms (beyond simple awareness) capable of explaining how the repeated and consistent ads...

We test the prediction of recent theories that stocks with high idiosyncratic skewness should have low expected returns. Because lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables....