This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the...

We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large 'no-trade' regions for each agent's optimal trading policy and a significant illiquidity discount in...

This paper employs a proprietary data set of portfolio transitions to analyze the short run price-volume relation and its association with the long run performance of newly hired and terminated managers. Unique to our study is its focus on price dynamics that is not affected by potential...