haku: @indexterm EQUILIBRIUM THEORY / yhteensä: 340
viite: 86 / 340
| Tekijä: | Vayanos, D. |
| Otsikko: | Transaction costs and asset prices: A dynamic equilibrium model |
| Lehti: | Review of Financial Studies
1998 : SPRING, VOL. 11:1, p. 1-58 |
| Asiasana: | TRANSACTION COSTS ASSETS PRICING MONEY MARKETS EQUILIBRIUM THEORY MODELS |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the effects of transaction costs on asset prices. An overlapping generations economy is assumed with a riskless, liquid bond, and many risky stocks carrying proportional transaction costs. Stock prices and turnover are obtained in closed form. A stock's price may increase in transaction costs, and more frequently traded stock may be less adversely affected by an increase in transaction costs. Calculations based on the "marginal" investor overestimate the effects of transaction costs. Transaction costs have very small effects on stock prices but large effects on turnover, for realistic parameter values. |
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