Information precision, transaction costs, and trading volume
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References listed on IDEAS
- 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.
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- Brennan, Michael J & Chordia, Tarun, 1993. " Brokerage Commission Schedules," Journal of Finance, American Finance Association, vol. 48(4), pages 1379-1402, September.
- 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.
- 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.
- Karpoff, Jonathan M, 1986. " A Theory of Trading Volume," Journal of Finance, American Finance Association, vol. 41(5), pages 1069-1087, December.
- 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 153-181, March.
- 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 577-595, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "The impact of macroeconomic announcements in the Brazilian futures markets," Textos para discussão 623, Department of Economics PUC-Rio (Brazil).
- Chong, Zhiwei, 2012. "Rational expectations equilibrium with transaction costs in financial markets," Finance Research Letters, Elsevier, vol. 9(2), pages 73-80.
- Nagayasu, Jun, 2016. "Inflation and Bubbles in the Japanese Condominium Market," MPRA Paper 71192, University Library of Munich, Germany.
- 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.
- Deb, Pragyan & Koo, Bonsoo & Liu, Zijun, 2014. "Competition, premature trading and excess volatility," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 178-193.
- Chong, Zhiwei, 2010. "Rational expectations equilibrium with transaction costs in financial markets," MPRA Paper 34444, University Library of Munich, Germany, revised 14 Jul 2011.
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