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Asset Pricing with General Transaction Costs : Theory and Numerics
Gonon, Lukas - 2020
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their frictionless counterparts -- the deviation has...
Persistent link: https://www.econbiz.de/10012849230
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Equilibrium Returns with Transaction Costs
Bouchard, Bruno - 2018
We study how trading costs are reflected in equilibrium returns. To this end, we develop a tractable continuous-time risk-sharing model, where heterogeneous mean-variance investors trade subject to a quadratic transaction cost. The corresponding equilibrium is characterized as the unique...
Persistent link: https://www.econbiz.de/10012933399
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Machine Learning and the Implementable Efficient Frontier
Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022
We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...
Persistent link: https://www.econbiz.de/10013492674
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Liquidity as an Investment Style
Ibbotson, Roger G. - 2013
We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...
Persistent link: https://www.econbiz.de/10013093548
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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014 - This version: February 15, 2014
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...
Persistent link: https://www.econbiz.de/10010250161
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Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
Buss, Adrian - 2019
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...
Persistent link: https://www.econbiz.de/10012905099
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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2015 - This version: February 2015
In this paper, we study the effect of proportional transaction costs on consumption- portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...
Persistent link: https://www.econbiz.de/10012061082
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Information shocks and the cross section of expected returns
Savaser, Tanseli; Tiniç, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 378-401
This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry by focusing on changes in the proportion of the...
Persistent link: https://www.econbiz.de/10014307769
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Proportional Transaction Costs on Asset Trades : A Note on Existence by Homotopy Methods
Citanna, Alessandro - 2013
Persistent link: https://www.econbiz.de/10014035956
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Transaction costs and value premium
Agarwal, Vikas; Wang, Lingling - 2007
Stocks und dem gleichzeitigen Verkauf von Growth Stocks, noch Geld verdienen lässt, wenn Transaktionskosten berücksichtigt … werden. Zur Messung der Transaktionskosten wird ein umfassender Ansatz nach Lesmond et al. (1999) gewählt, der u.a. den … Transaktionskosten führt zum Verschwinden der Value Premium - auch dann, wenn für Liquidität und die Größe der Unternehmen kontrolliert …
Persistent link: https://www.econbiz.de/10009525973