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Citations for "Capital Market Equilibrium with Transaction Costs"

by Constantinides, George M

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  1. George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2010. "Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence," NBER Working Papers 16302, National Bureau of Economic Research, Inc.
  2. Beber, Alessandro & Driessen, Joost & Tuijp, Patrick, 2011. "Pricing Liquidity Risk with Heterogeneous Investment Horizons," CEPR Discussion Papers 8710, C.E.P.R. Discussion Papers.
  3. Boyd, John H & Jagannathan, Ravi, 1994. "Ex-dividend Price Behavior of Common Stocks," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 711-41.
  4. Ben-Rephael, Azi & Kadan, Ohad & Wohl, Avi, 2008. "The diminishing liquidity premium," CFS Working Paper Series 2008/52, Center for Financial Studies (CFS).
  5. Frank Milne & Edwin Neave, 2003. "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Working Papers 1082, Queen's University, Department of Economics.
  6. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
  7. Huang, Kevin X. D., 2002. "On infinite-horizon minimum-cost hedging under cone constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 27(2), pages 283-301, December.
  8. Francisco Gomes & Alexander Michaelides, 2003. "Optimal life-cycle asset allocation: understanding the empirical evidence," LSE Research Online Documents on Economics 24900, London School of Economics and Political Science, LSE Library.
  9. Hartwick, John M., 1995. "Capital gains and asset switching," Economics Letters, Elsevier, vol. 47(1), pages 63-67, January.
  10. Erindi Allaj, 2013. "Implicit transaction costs and the fundamental theorems of asset pricing," Papers 1310.1882, arXiv.org, revised May 2014.
  11. Geert Bekaert & Campbell R. Harvey & Christian Lundblad, 2007. "Liquidity and Expected Returns: Lessons from Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1783-1831, November.
  12. Jan Kallsen & Johannes Muhle-Karbe, 2012. "Option Pricing and Hedging with Small Transaction Costs," Papers 1209.2555, arXiv.org, revised Dec 2012.
  13. Amir E. Khandani & Andrew W. Lo & Robert C. Merton, 2009. "Systemic Risk and the Refinancing Ratchet Effect," Harvard Business School Working Papers 10-023, Harvard Business School, revised Jul 2010.
  14. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner & Ladley, Dan, 2012. "Costs and Benefits of Speculation," Discussion Papers 2012/12, Department of Business and Management Science, Norwegian School of Economics.
  15. Chellathurai, Thamayanthi & Draviam, Thangaraj, 2007. "Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2168-2195, July.
  16. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
  17. Dimitri Vayanos & Pierre-Olivier Weill, 2006. "A Search-Based Theory of the On-the-Run Phenomenon," NBER Working Papers 12670, National Bureau of Economic Research, Inc.
  18. Korajczyk, Robert A. & Sadka, Ronnie, 2008. "Pricing the commonality across alternative measures of liquidity," Journal of Financial Economics, Elsevier, vol. 87(1), pages 45-72, January.
  19. Muthuraman, Kumar, 2007. "A computational scheme for optimal investment - consumption with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1132-1159, April.
  20. Ren Liu & Johannes Muhle-Karbe & Marko Weber, 2014. "Rebalancing with Linear and Quadratic Costs," Papers 1402.5306, arXiv.org.
  21. Dylan Possama\"i & Guillaume Royer, 2014. "General indifference pricing with small transaction costs," Papers 1401.3261, arXiv.org.
  22. Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
  23. Gerald T. Garvey, 2001. "What is a Reasonable Rate of Return for an Undiversified Investor?," Claremont Colleges Working Papers 2001-20, Claremont Colleges.
  24. Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross Section of OTC Stocks," NBER Working Papers 19309, National Bureau of Economic Research, Inc.
  25. Elyès Jouini, 2003. "Market imperfections, equilibrium and arbitrage," Finance 0312005, EconWPA.
  26. Pierre-Olivier Weill & Guillaume Rocheteau & Ricardo Lagos, 2007. "Crashes and Recoveries in Illiquid Markets," 2007 Meeting Papers 981, Society for Economic Dynamics.
  27. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, EconWPA.
  28. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
  29. Chiaki Hara, 2013. "Asset Prices, Trading Volumes, and Investor Welfare in Markets with Transaction Costs," KIER Working Papers 862, Kyoto University, Institute of Economic Research.
  30. Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org.
  31. Anginer, Deniz, 2010. "Liquidity clienteles : transaction costs and investment decisions of individual investors," Policy Research Working Paper Series 5318, The World Bank.
  32. Narayan, Paresh Kumar & Zheng, Xinwei, 2011. "The relationship between liquidity and returns on the Chinese stock market," Journal of Asian Economics, Elsevier, vol. 22(3), pages 259-266, June.
  33. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers.
  34. V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer, vol. 45(1), pages 65-97, October.
  35. Heidle, Hans Gerhard, 1999. "Market Microstructure and Asset Pricing: A Survey," Discussion Papers 691, The Research Institute of the Finnish Economy.
  36. Koenig-Matsoukis, Laure & Riva, Fabrice & Ginglinger, Edith, 2009. "Stock market liquidity and the rights offer paradox," Economics Papers from University Paris Dauphine 123456789/2939, Paris Dauphine University.
  37. Tanaka, Hiroatsu & Baba, Naohiko, 2004. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 91-121, March.
  38. Damgaard, Anders, 2003. "Utility based option evaluation with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 667-700, February.
  39. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
  40. Elyès Jouini & Hédi Kallal, 1999. "Efficient Trading Strategies in the Presence of Market Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-035, New York University, Leonard N. Stern School of Business-.
  41. 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.
  42. Ben Lester & Braz Camargo, 2010. "Trading Dynamics in Decentralized Markets with Adverse Selection," 2010 Meeting Papers 488, Society for Economic Dynamics.
  43. Dominique Dupont & Gabriel Lee, 2007. "Effects of Securities Transaction Taxes on Depth and Bid-Ask Spread," Economic Theory, Springer, vol. 31(2), pages 393-400, May.
  44. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
  45. Weill, Pierre-Olivier, 2008. "Liquidity premia in dynamic bargaining markets," Journal of Economic Theory, Elsevier, vol. 140(1), pages 66-96, May.
  46. Miguel Martinez Sedano, 2003. "Legal constraints, transaction costs and the evaluation of mutual funds," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 199-218.
  47. Michael A. Goldstein & Paul Irvine & Eugene Kandel & Zvi Wiener, 2009. "Brokerage Commissions and Institutional Trading Patterns," Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5175-5212, December.
  48. Jouini, Elyès & Kallal, Hedi, 1999. "Viability and equilibrium in securities markets with frictions," Economics Papers from University Paris Dauphine 123456789/5603, Paris Dauphine University.
  49. Dimitri Vayanos, 2004. "Flight to quality, flight to liquidity, and the pricing of risk," LSE Research Online Documents on Economics 456, London School of Economics and Political Science, LSE Library.
  50. Jouini, Elyès & Napp, Clotilde & Kallal, Hedi, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Economics Papers from University Paris Dauphine 123456789/5593, Paris Dauphine University.
  51. Sanford J. Grossman & Guy Laroque, 1987. "Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods," NBER Working Papers 2369, National Bureau of Economic Research, Inc.
  52. Fecht, Falko & Füss, Roland & Rindler, Philipp B., . "Corporate Transparency and Bond Liquidity," Working Papers on Finance 1404, University of St. Gallen, School of Finance.
  53. Darrell Duffie & Nicolae Garleanu & Lasse Heje Pedersen, 2005. "Over-the-Counter Markets," Econometrica, Econometric Society, vol. 73(6), pages 1815-1847, November.
  54. Johannes Muhle-Karbe & Ren Liu, 2012. "Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints," Papers 1205.4588, arXiv.org, revised Jan 2013.
  55. P. Jean-Jacques Herings & Karl Schmedders, 2001. "Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs," Discussion Papers 1318, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  56. Gârleanu, Nicolae, 2009. "Portfolio choice and pricing in illiquid markets," Journal of Economic Theory, Elsevier, vol. 144(2), pages 532-564, March.
  57. Dai, Min & Jin, Hanqing & Liu, Hong, 2011. "Illiquidity, position limits, and optimal investment for mutual funds," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1598-1630, July.
  58. Hayne Leland., 1996. "Optimal Asset Rebalancing in the Presence of Transactions Costs," Research Program in Finance Working Papers RPF-261, University of California at Berkeley.
  59. Qin Lei & Xuewu Wang, 2012. "Flight to liquidity due to heterogeneity in investment horizon," China Finance Review International, Emerald Group Publishing, vol. 2(2), pages 316-350, August.
  60. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc.
  61. Eckbo, B. Espen & Norli, Oyvind, 2005. "Liquidity risk, leverage and long-run IPO returns," Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 1-35, March.
  62. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer, vol. 19(6), pages 884-912, December.
  63. H. Mete Soner & Nizar Touzi, 2012. "Homogenization and asymptotics for small transaction costs," Papers 1202.6131, arXiv.org, revised Jun 2013.
  64. Hua, Cheng, 2006. "Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs," Economics Papers from University Paris Dauphine 123456789/4074, Paris Dauphine University.
  65. Clewlow, Les & Hodges, Stewart, 1997. "Optimal delta-hedging under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1353-1376, June.
  66. Ricardo Lagos & Guillaume Rocheteau, 2009. "Liquidity in Asset Markets With Search Frictions," Econometrica, Econometric Society, vol. 77(2), pages 403-426, 03.
  67. Bruno Séjourné, 2004. "Volatilité des marchés boursiers et comportement des épargnants français," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 219-230.
  68. Marekwica, Marcel & Stamos, Michael Z., 2010. "Optimal life cycle portfolio choice with housing market cycles," CFS Working Paper Series 2010/21, Center for Financial Studies (CFS).
  69. Andriy Demchuk, 2002. "Portfolio Optimization with Concave Transaction Costs," FAME Research Paper Series rp103, International Center for Financial Asset Management and Engineering.
  70. Riccardo Giacomelli & Elisa Luciano, 2011. "Equilibrium price of immediacy and infrequent trade," Carlo Alberto Notebooks 221, Collegio Carlo Alberto, revised 2013.
  71. Dmitrios Vayanos, 2004. "Search and Endogenous Concentration of Liquidity in Asset Markets," Econometric Society 2004 North American Winter Meetings 647, Econometric Society.
  72. Ono, Hiroyuki & Hayashida, Minoru, 2009. "Turnover tax and trading volume: Panel analysis of stocks traded in the Japanese and US markets," Journal of the Japanese and International Economies, Elsevier, vol. 23(3), pages 241-263, September.
  73. Riva, Fabrice & Ginglinger, Edith & Koenig-Matsoukis, Laure, 2009. "Stock market liquidity and the rights offer paradox," Economics Papers from University Paris Dauphine 123456789/3035, Paris Dauphine University.
  74. Baker, Malcolm & Coval, Joshua & Stein, Jeremy C., 2007. "Corporate financing decisions when investors take the path of least resistance," Journal of Financial Economics, Elsevier, vol. 84(2), pages 266-298, May.
  75. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine 123456789/5590, Paris Dauphine University.
  76. Bruno Bouchard & Ludovic Moreau & Mete H. Soner, 2013. "Hedging under an expected loss constraint with small transaction costs," Papers 1309.4916, arXiv.org.
  77. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity — Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
  78. Eisfeldt, Andrea L., 2007. "Smoothing with liquid and illiquid assets," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1572-1586, September.
  79. Matthew Spiegel & Xiaotong Wang, 2005. "Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk," Yale School of Management Working Papers amz2540, Yale School of Management, revised 01 Mar 2006.
  80. Sofia B. RAMOS & Ernst-Ludwig VON THADDEN, 2003. "Stock Exchange Competition in a Simple Model of Capital Market Equilibrium," FAME Research Paper Series rp109, International Center for Financial Asset Management and Engineering.
  81. Breton, Régis & Gobillard, Bertrand, 2011. "Robustness of equilibrium price dispersion in finite market games," TSE Working Papers 11-308, Toulouse School of Economics (TSE).
  82. Keiichi Kubota & Hitoshi Takehara, 2010. "Expected return, liquidity risk, and contrarian strategy: evidence from the Tokyo Stock Exchange," Managerial Finance, Emerald Group Publishing, vol. 36(8), pages 655-679, August.
  83. Lipson, Marc L. & Mortal, Sandra, 2009. "Liquidity and capital structure," Journal of Financial Markets, Elsevier, vol. 12(4), pages 611-644, November.
  84. Ghysels, Eric & Pereira, João Pedro, 2008. "Liquidity and conditional portfolio choice: A nonparametric investigation," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 679-699, September.
  85. Leland, Hayne E., 1999. "Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes," Research Program in Finance, Working Paper Series qt0fw6k0hm, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
  86. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
  87. Thornton Matheson, 2011. "Taxing Financial Transactions," IMF Working Papers 11/54, International Monetary Fund.
  88. Chollete, Lorán & Næs, Randi & Skjeltorp, Johannes A., 2006. "Pricing Implications of Shared Variance in Liquidity Measures," Discussion Papers 2006/9, Department of Business and Management Science, Norwegian School of Economics, revised 21 Jun 2007.
  89. Hara, Chiaki, 2012. "Asset prices, trading volumes, and investor welfare in markets with transaction costs," CIS Discussion paper series 556, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  90. Asparouhova, Elena & Bessembinder, Hendrik & Kalcheva, Ivalina, 2010. "Liquidity biases in asset pricing tests," Journal of Financial Economics, Elsevier, vol. 96(2), pages 215-237, May.
  91. Agarwal, Vikas & Wang, Lingling, 2007. "Transaction costs and value premium," CFR Working Papers 07-06, University of Cologne, Centre for Financial Research (CFR).
  92. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
  93. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 275-292.
  94. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
  95. Chen, Andrew H. & Mazumdar, Sumon C., 1997. "A dynamic model of firewalls and non-traditional banking," Journal of Banking & Finance, Elsevier, vol. 21(3), pages 393-416, March.
  96. Chan, Justin S.P. & Jain, Ravi & Xia, Yihong, 2008. "Market segmentation, liquidity spillover, and closed-end country fund discounts," Journal of Financial Markets, Elsevier, vol. 11(4), pages 377-399, November.
  97. Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2008. "Endogenous Transaction Costs," Economics Working Papers (Ensaios Economicos da EPGE) 680, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  98. Kim, Soon-Ho & Lee, Kuan-Hui, 2014. "Pricing of liquidity risks: Evidence from multiple liquidity measures," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 112-133.
  99. Alexius, Annika & Birenstam, Helene & Eklund, Johanna, 2014. "The interbank market risk premium, central bank interventions, and measures of market liquidity," Research Papers in Economics 2014:2, Stockholm University, Department of Economics.
  100. Pham, Peter K. & Kalev, Petko S. & Steen, Adam B., 2003. "Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 919-947, May.
  101. Matthias Bank & Martin Larch & Georg Peter, 2011. "Google search volume and its influence on liquidity and returns of German stocks," Financial Markets and Portfolio Management, Springer, vol. 25(3), pages 239-264, September.
  102. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
  103. Chong, Zhiwei, 2010. "Rational expectations equilibrium with transaction costs in financial markets," MPRA Paper 34444, University Library of Munich, Germany, revised 14 Jul 2011.
  104. Hamon, Jacques & Jacquillat, Bertrand, 1999. "Is there value-added information in liquidity and risk premiums?," Economics Papers from University Paris Dauphine 123456789/12648, Paris Dauphine University.
  105. Perrakis, Stylianos & Lefoll, Jean, 2000. "Option pricing and replication with transaction costs and dividends," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
  106. Joachim de Lataillade & Cyril Deremble & Marc Potters & Jean-Philippe Bouchaud, 2012. "Optimal Trading with Linear Costs," Papers 1203.5957, arXiv.org.
  107. Loewenstein, Mark, 2000. "On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 209-228, March.
  108. Dylan Possama\"i & H. Mete Soner & Nizar Touzi, 2012. "Homogenization and asymptotics for small transaction costs: the multidimensional case," Papers 1212.6275, arXiv.org, revised Jan 2013.
  109. Víctor de Miguel & Xiaoling Mei & Francisco J. Nogales, 2013. "Multiperiod portfolio selection with transaction and market-impact costs," Statistics and Econometrics Working Papers ws131615, Universidad Carlos III, Departamento de Estadística y Econometría.
  110. Ginglinger, Edith & Koenig-Matsoukis, Laure & Riva, Fabrice, 2013. "Seasoned equity offerings: Stock market liquidity and the rights offer paradox," Economics Papers from University Paris Dauphine 123456789/10852, Paris Dauphine University.
  111. Robert C. Merton & Zvi Bodie, 2004. "The Design of Financial Systems: Towards a Synthesis of Function and Structure," NBER Working Papers 10620, National Bureau of Economic Research, Inc.
  112. Baldwin, Richard, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests: Small Transaction Costs, Big Hysteresis Bands," CEPR Discussion Papers 407, C.E.P.R. Discussion Papers.
  113. Dötz, Niko & Weth, Mark, 2013. "Cash holdings of German open-end equity funds: Does ownership matter?," Discussion Papers 47/2013, Deutsche Bundesbank, Research Centre.
  114. Yongyang Cai & Kenneth L. Judd & Rong Xu, 2013. "Numerical Solution of Dynamic Portfolio Optimization with Transaction Costs," NBER Working Papers 18709, National Bureau of Economic Research, Inc.
  115. Dai, Min & Wang, Hefei & Yang, Zhou, 2012. "Leverage management in a bull–bear switching market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1585-1599.
  116. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
  117. Bernard Dumas, 1989. "Perishable Investment and Hysteresis in Capital Formation," NBER Working Papers 2930, National Bureau of Economic Research, Inc.
  118. Koren, Miklós & Szeidl, Adam, 2003. "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers 3795, C.E.P.R. Discussion Papers.
  119. Alexander Michaelides & Francisco J. Gomes, 2005. "Optimal life cycle asset allocation : understanding the empirical evidence," LSE Research Online Documents on Economics 193, London School of Economics and Political Science, LSE Library.
  120. Datar, Vinay T. & Y. Naik, Narayan & Radcliffe, Robert, 1998. "Liquidity and stock returns: An alternative test," Journal of Financial Markets, Elsevier, vol. 1(2), pages 203-219, August.
  121. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
  122. Longstaff, Francis A, 2005. "Asset Pricing in Markets with Illiquid Assets," University of California at Los Angeles, Anderson Graduate School of Management qt2458g38x, Anderson Graduate School of Management, UCLA.
  123. Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014. "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, vol. 18(1), pages 1-37, January.
  124. Florackis, Chris & Gregoriou, Andros & Kostakis, Alexandros, 2011. "Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3335-3350.
  125. Dias, José Carlos & Shackleton, Mark B., 2011. "Hysteresis effects under CIR interest rates," European Journal of Operational Research, Elsevier, vol. 211(3), pages 594-600, June.
  126. John Heaton & Deborah Lucas, 1993. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," NBER Working Papers 4249, National Bureau of Economic Research, Inc.
  127. Avner Bar-Ilan & Alan S. Blinder, 1987. "Consumer Durables and the Optimality of Usually Doing Nothing," NBER Working Papers 2488, National Bureau of Economic Research, Inc.
  128. Kallal, Hedi & Jouini, Elyès, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Economics Papers from University Paris Dauphine 123456789/4721, Paris Dauphine University.
  129. Randi Næs & Bernt Arne Ødegaard, 2008. "Liquidity and asset pricing: Evidence on the role of investor holding period," Working Paper 2007/11, Norges Bank.
  130. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
  131. Frino, Alex & McInish, Thomas H. & Toner, Martin, 1998. "The liquidity of automated exchanges: new evidence from German Bund futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 225-241, December.
  132. Chan, Justin S.P. & Hong, Dong & Subrahmanyam, Marti G., 2008. "A tale of two prices: Liquidity and asset prices in multiple markets," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 947-960, June.
  133. Florin O. Bilbie, 2005. "Limited Asset Markets Participation, Monetary Policy and (Inverted) Keynesian Logic," Economics Series Working Papers 2005-W09, University of Oxford, Department of Economics.
  134. Datar, Vinay, 2001. "Impact of liquidity on premia/discounts in closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(1), pages 119-135.
  135. Cheng, Ping & Lin, Zhenguo & Liu, Yingchun, 2010. "Illiquidity, transaction cost, and optimal holding period for real estate: Theory and application," Journal of Housing Economics, Elsevier, vol. 19(2), pages 109-118, June.
  136. Seo, Byeongseon, 2003. "Nonlinear mean reversion in the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2243-2265, September.
  137. Chong, Zhiwei, 2012. "Rational expectations equilibrium with transaction costs in financial markets," Finance Research Letters, Elsevier, vol. 9(2), pages 73-80.
  138. Aragon, George O., 2007. "Share restrictions and asset pricing: Evidence from the hedge fund industry," Journal of Financial Economics, Elsevier, vol. 83(1), pages 33-58, January.
  139. Panayides, Photis M. & Lambertides, Neophytos & Cullinane, Kevin, 2013. "Liquidity risk premium and asset pricing in US water transportation," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 52(C), pages 3-15.
  140. Akian, Marianne & Menaldi, Jose Luis & Sulem, Agnès, 1995. "Multi-asset portfolio selection problem with transaction costs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 163-172.
  141. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2014. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  142. Rowland, Patrick F., 1999. "Transaction costs and international portfolio diversification," Journal of International Economics, Elsevier, vol. 49(1), pages 145-170, October.
  143. Amira, Khaled & Muzere, Mark L., 2011. "Competition among stock exchanges for equity," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2355-2373, September.
  144. Fernández-Amador, Octavio & Gächter, Martin & Larch, Martin & Peter, Georg, 2013. "Does monetary policy determine stock market liquidity? New evidence from the euro zone," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 54-68.
  145. Michael J. Sullivan & Steven M. Cassidy & Charles M. Ermer, 1991. "A Note on the Effect of Transactions Costs on Real Estate Investment Return," Journal of Real Estate Research, American Real Estate Society, vol. 6(1), pages 113-117.
  146. Balduzzi, Pierluigi & Lynch, Anthony W., 1999. "Transaction costs and predictability: some utility cost calculations," Journal of Financial Economics, Elsevier, vol. 52(1), pages 47-78, April.
  147. Loderer, Claudio & Roth, Lukas, 2005. "The pricing discount for limited liquidity: evidence from SWX Swiss Exchange and the Nasdaq," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 239-268, March.
  148. Marshall, Ben R. & Young, Martin, 2003. "Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 173-188.
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