We consider the problem of optimal dynamic trading in the presence of predictable returns and proportional transaction costs for an investor choosing among multiple assets. The value of each security equals the expected value of holding the asset plus the value of all options to trade. We...

We provide a firm level analysis of the impact of capital market liberalization in 18 emerging markets. We find a larger increase in returns during liberalization and a larger decrease in returns after liberalization than previously found using indexes. While slightly more than half of the firms...