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Publication type: Article
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| Title: |
Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks, and State-Dependent Transaction Costs
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| Author(s): |
LYNCH,ANTHONY W
(Author)
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| Source Journal Info. |
Title:The Journal of Finance
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Issue Number:2011/AUG V.66 N.4
Call No.:332.05 JFI
Location: References & Periodical Hall - 2nd floor
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| Physical Description: |
p1329–1368
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| Subject Area: |
Economics
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| Subject Terms: |
Finance
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| Accession Number |
128748
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Abstract
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Constantinides (1986) documents how the impact of transaction costs on per-annum liquidity premia in the standard dynamic allocation problem with i.i.d. returns is an order of magnitude smaller than the cost rate itself. Recent papers form portfolios sorted on liquidity measures and find spreads in expected per-annum return that are the same order of magnitude as the transaction cost spread ...
Abstract URL:http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2011.01662.x/abstract
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