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Information precision, transaction costs, and trading volume

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  • Barron, Orie E.
  • Karpoff, Jonathan M.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4909GJ7-1/2/5a8555309d7480665d76d91fcad7b21c
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 28 (2004)
Issue (Month): 6 (June)
Pages: 1207-1223

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Handle: RePEc:eee:jbfina:v:28:y:2004:i:6:p:1207-1223

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Web page: http://www.elsevier.com/locate/jbf

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References

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  1. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-81, March.
  2. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June.
  3. Brennan, Michael J & Chordia, Tarun, 1993. " Brokerage Commission Schedules," Journal of Finance, American Finance Association, vol. 48(4), pages 1379-1402, September.
  4. Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-87, December.
  5. Dumas, Bernard & Luciano, Elisa, 1991. " An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-95, June.
  6. Demski, Joel S. & Feltham, Gerald A., 1994. "Market response to financial reports," Journal of Accounting and Economics, Elsevier, vol. 17(1-2), pages 3-40, January.
  7. George, Thomas J & Kaul, Gautam & Nimalendran, M, 1994. " Trading Volume and Transaction Costs in Specialist Markets," Journal of Finance, American Finance Association, vol. 49(4), pages 1489-1505, September.
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Citations

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Cited by:
  1. Chong, Zhiwei, 2012. "Rational expectations equilibrium with transaction costs in financial markets," Finance Research Letters, Elsevier, vol. 9(2), pages 73-80.
  2. Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
  3. Chong, Zhiwei, 2010. "Rational expectations equilibrium with transaction costs in financial markets," MPRA Paper 34444, University Library of Munich, Germany, revised 14 Jul 2011.
  4. Matilla-García, Mariano & Marín, Manuel Ruiz & Dore, Mohammed I., 2014. "A permutation entropy based test for causality: The volume–stock price relation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 280-288.

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