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Transaction costs, portfolio characteristics, and mutual fund performance
Busse, Jeffrey A.; Chordia, Tarun; Jiang, Lei; Tang, Yuehua - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1227-1248
Persistent link: https://www.econbiz.de/10012505424
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Essays on stock momentum and asset liquidity
Sadka, Ronnie - 2003
Persistent link: https://www.econbiz.de/10003624563
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The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy
Zhang, Qi; Cai, Charlie X.; Keasey, Kevin - In: Review of quantitative finance and accounting 43 (2014) 3, pp. 605-625
Persistent link: https://www.econbiz.de/10010490369
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Liquidity and expected returns : evidence from 1926 - 2008
Baradarannia, M. Reza; Peat, Maurice - In: International review of financial analysis 29 (2013), pp. 10-23
Persistent link: https://www.econbiz.de/10010244145
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Liquidity premia in dynamic bargaining markets
Weill, Pierre-Olivier - In: Journal of economic theory 140 (2008) 1, pp. 66-96
Persistent link: https://www.econbiz.de/10003725441
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Liquidity premia in dynamic bargaining markets
Weill, Pierre-Olivier (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001929925
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Cash hoarding : vice or virtue
Kang, Sunmin; Hwang, Intae; Song, Sooyoung - In: Journal of international financial markets, … 53 (2018), pp. 94-116
Persistent link: https://www.econbiz.de/10011983839
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Comparing anomalies using liquidity and earnings
Snigaroff, Robert; Wroblewski, David; Yoo, Sean Sehyun - In: Journal of investment management : JOIM 18 (2020) 3, pp. 75-91
Persistent link: https://www.econbiz.de/10012589080
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Managed portfolio performance and transaction costs
Taylor, Nicholas - In: Applied economics letters 22 (2015) 4/6, pp. 272-280
Persistent link: https://www.econbiz.de/10010506781
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A spectral model of turnover reduction
Kakushadze, Zura - In: Econometrics : open access journal 3 (2015) 3, pp. 577-589
We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...
Persistent link: https://www.econbiz.de/10011410628