The High-Volume Return Premium
نویسندگان
چکیده
منابع مشابه
Transaction costs, trading volume, and the liquidity premium
In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the optimal investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals the spread, times share ...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2001
ISSN: 0022-1082
DOI: 10.1111/0022-1082.00349