haku: @author Verbeek, M. / yhteensä: 3
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| Tekijä: | Marquering, W. Verbeek, M. |
| Otsikko: | An empirical analysis of intertemporal asset pricing models with transaction costs and habit persistence |
| Lehti: | Journal of Empirical Finance
1999 : SEP, VOL. 6:3, p. 243-265 |
| Asiasana: | Assets Pricing Transaction costs |
| Kieli: | eng |
| Tiivistelmä: | In intertemporal asset pricing models, transaction costs are usually neglected. In this paper it is explicitly incorporated transaction costs in these models. It is analyzed to what extent this extension is helpful in explaining the cross-section of expected returns. An empirical analysis using CRSP data on size-based portfolios examines the role of the transaction costs showing that incorporating such costs in the consumption-based model with power utility does not yield very satisfactory results. There is found rather strong evidence of habit persistence in monthly consumption data. |
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