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Heterogeneous time varying transaction costs and asset pricing in international equity markets

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  • Andros Gregoriou

    ()

  • Christos Ioannidis
  • Sugata Ghosh

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File URL: http://hdl.handle.net/10.1007/s11408-009-0111-4
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Bibliographic Info

Article provided by Springer in its journal Financial Markets and Portfolio Management.

Volume (Year): 23 (2009)
Issue (Month): 3 (September)
Pages: 271-283

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Handle: RePEc:kap:fmktpm:v:23:y:2009:i:3:p:271-283

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Web page: http://www.springerlink.com/link.asp?id=119763

Related research

Keywords: Asset pricing; Bid-ask spreads; Heterogeneity; GMM; C23; G12;

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References

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  1. Pastor, Lubos & Stambaugh, Robert F., 2003. "Liquidity Risk and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
  2. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2001. "Asset Prices and Trading Volume Under Fixed Transactions Costs," NBER Working Papers 8311, National Bureau of Economic Research, Inc.
  3. Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
  4. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  5. Vayanos, Dimitri, 1998. "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," Review of Financial Studies, Society for Financial Studies, vol. 11(1), pages 1-58.
  6. Arellano, Manuel & Bond, Stephen, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," Review of Economic Studies, Wiley Blackwell, vol. 58(2), pages 277-97, April.
  7. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-87, June.
  8. Wessel Marquering & Marno Verbeek, 1998. "An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence," Center for Economic Studies - Discussion papers ces9824, Katholieke Universiteit Leuven, Centrum voor Economische Studiën.
  9. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
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Cited by:
  1. Laura Andreu & Laurens Swinkels & Liam Tjong-A-Tjoe, 2013. "Can exchange traded funds be used to exploit industry and country momentum?," Financial Markets and Portfolio Management, Springer, vol. 27(2), pages 127-148, June.
  2. Christian Wildmann, 2011. "What drives portfolio investments of German banks in emerging capital markets?," Financial Markets and Portfolio Management, Springer, vol. 25(2), pages 197-231, June.

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