This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...

This article is to show a paradox in the mean variance model for portfolio selection when the transaction costs are included. While a transaction cost decreases the mean of the rate of return of an investment, it also decreases its variance. Thus, for individuals with strong risk aversion, it is...

This paper investigates the direct link between institutional investors' trading activity and comovement in stock liquidity using data on actual institutional investors' trades. We fi nd strong empirical evidence that stocks that are highly traded by institutions exhibit commonality in...

Transaction costs play a significant role in financial markets, and many studies have been conducted on this topic to date. Research on this topic may be divided into two categories. The first category of studies examines the optimal trading strategy of the investor who has to pay transaction...

The convention in calculating corporate bond trading costs is to estimate bid-ask spreads that customers pay, implicitly assuming that dealers always provide liquidity to customers. We show that, contrary to this assumption, customers increasingly provide liquidity after the post-2008 banking...

In order to maintain the function of a decentralized financial system like Bitcoin, transaction fees are offered to engage miners in the transaction confirmation process. This paper investigates the effect of miner competition on the equilibrium transaction fees. We develop a game-theoretic...

This paper extends the Kyle (1985) framework to allow both endogenous price and endogenous execution probability. I use the model to examine the market outcome when the informed trader can split trades between an exchange and a crossing network (dark pool). The crossing network reduces price...