| Author: | Michaely, R. Vial, J.-L. Wang, J. |
| Title: | A model of trading volume with tax-induces heterogeneous valuation and transaction costs |
| Journal: | Journal of Financial Intermediation
1996 : OCT, VOL. 5:4, p. 340-371 |
| Index terms: | FINANCIAL INTERMEDIARIES TRANSACTION COSTS MONEY SHOPS |
| Language: | eng |
| Abstract: | The authors develop a model of trading volume when agents have different valuation and face transaction costs. In particular, the differential valuation is induced by differential tax status which generates trading around the distribution of ash dividends. The model predicts that trading volume is negatively affected by idiosyncratic risk of dividend-paying stocks. Volume is negatively affected by the systematic risk of these stocks only in the presence of transaction costs. |
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