Frontier markets, sometimes referred to as “emerging emerging markets,” have high transaction costs so investors who rebalance their portfolios monthly do not receive diversification benefits. However, diversification gains can be achieved by investors rebalancing every three months or...

Transaction costs in many international equity markets are reported as being much larger than those in the U.S. This raises questions such as what trade size these reported trading costs relate to and whether investors can reduce trading costs by timing their trades. We show, using data from the...