Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks, and State-Dependent Transaction Costs
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نوع المصدر |
مقال
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بيانات التأليف |
LYNCH, ANTHONY W (Author)
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بيانات الدورية المصدر |
العنوان:
The Journal of Finance
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رقم المجلد/ العدد: 2011/AUG V.66 N.4
رقم الإستدعاء: 332.05 JFI الموقع: Periodicals & References Hall - 2nd floor
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الوصف المادي |
p1329–1368
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رأس الموضوع/ الواصفات |
Economics
(9033)
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المستخلص |
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...
المستخلص الكامل
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| المزيد من المقالات من
الدورية:
The Journal of Finance
(268)
العدد: 2011/AUG V.66 N.4
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