Trading Costs, Liquidity, and Asset Holdings
AbstractIn this article I develop a model that accounts for interdependence between trading costs in various asset markets arising from the optimizing behavior of liquidity traders. The model suggests that noise trading is an important determinant of the liquidity of asset markets and provides a positive theory for diversified asset holding by risk-neutral liquidity traders. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Society for Financial Studies in its journal Review of Financial Studies.
Volume (Year): 4 (1991)
Issue (Month): 2 ()
Contact details of provider:
Postal: Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.
Web page: http://www.rfs.oupjournals.org/
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Sebastian Dickgiesser & Christoph Kaserer, 2010.
"Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information,"
German Economic Review,
Verein für Socialpolitik, vol. 11, pages 302-335, 08.
- Dickgiesser, Sebastian & Kaserer, Christoph, 2008. "Market efficiency reloaded: why insider trades do not reveal exploitable information," CEFS Working Paper Series 2008-04, Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München.
- Grammig, J. & Schiereck, D. & Theissen, E., 2001.
"Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
35288, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Grammig, Joachim & Schiereck, Dirk & Theissen, Erik, 2001. "Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets," Journal of Financial Markets, Elsevier, vol. 4(4), pages 385-412, October.
- Lamoureux, Christopher G. & Schnitzlein, Charles R., 2004. "Microstructure with multiple assets: an experimental investigation into direct and indirect dealer competition," Journal of Financial Markets, Elsevier, vol. 7(2), pages 117-143, February.
- Bailey, Warren & Andrew Karolyi, G. & Salva, Carolina, 2006.
"The economic consequences of increased disclosure: Evidence from international cross-listings,"
Journal of Financial Economics,
Elsevier, vol. 81(1), pages 175-213, July.
- Bailey, Warren & Karolyi, G. Andrew & Salva, Carolina, 2004. "The Economic Consequences of Increased Disclosure:Evidence from International Cross-Listings," Working Paper Series 2004-7, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Hargis, Kent & Ramanlal, Pradipkumar, 1998. "When Does Internationalization Enhance the Development of Domestic Stock Markets?," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 263-292, July.
- Instefjord, Norvald, 2006. "Forecasting risk, informed speculation, and financial innovation," Journal of Financial Intermediation, Elsevier, vol. 15(1), pages 67-85, January.
- Yavas, Abdullah, 2001. "The immediacy service of the specialist as a coordination mechanism," International Review of Economics & Finance, Elsevier, vol. 10(3), pages 205-221, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.