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The estimation of transaction costs in arbitrage models
8 references·3 citing·42 second hop
The estimation of transaction costs in arbitrage models (1988)The estimation of transaction costs in ar…The theory and practice of econometrics (1986)The theory and practice of ec…The Efficiency of the Dollar-Sterling Gold Standard, 1890-1908 (1986)The Efficiency of the Dollar-…Testing deviations from purchasing power parity (1986)Testing deviations from purch…On the Extent of the Market: Wholesale Gasoline in the Northeastern United States (1986)On the Extent of the Market: …Violations of the Gold Points, 1890-1908 (1984)Violations of the Gold Points…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Formulation and estimation of stochastic frontier production function models (1977)Formulation and estimation of…The integration of China into the world crude oil market since 1998 (2011)The integration of China into…Storage, Slow Transport, and the Law of One Price: Theory with Evidence from Nineteenth-Century U.S. Corn Markets (2009)Storage, Slow Transport, and …The pitfalls of estimating transactions costs from price data: Evidence from trans-Atlantic gold-point arbitrage, 1886–1905 (2007)The pitfalls of estimating tr…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Asset pricing and the bid-ask spread (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Statistical inference in vector autoregressions with possibly integrated processes (1995)Evolution of world crude oil market integration and diversification: A wavelet-based complex network perspective (2015)Intra-day co-movements of crude oil futures: China and the international benchmarks (2021)Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models (2021)How Wide is the Border? (1995)Between the Dollar-Sterling Gold Points (1996)Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited (1997)How Did Pre-Fed Banking Panics End? (2016)Monetary Policy under the International Gold Standard: 1880-1914. (1961)The Development of the New Monetary Economics (1987)Measuring Market Integration: Foreign Exchange Arbitrage and the Gold Standard, 1879-1913 (2004)How much do we know about market integration in Europe?1 (2011)A Monetary History of the United States, 1867-1960 (2017)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Measurement of Productive Efficiency (1957)Specification and Estimation of Cobb-Douglas Production Function Models (1966)Efficiency Estimation of Production Functions (1972)On the estimation of technical inefficiency in the stochastic frontier production function model (1982)A model for technical inefficiency effects in a stochastic frontier production function for panel data (1995)Estimation and inference in two-stage, semi-parametric models of production processes (2005)Bank of England Operations, 1890-1914. (1936)The Remarkable Efficiency of the Dollar-Sterling Gold Standard, 1890–1906 (1989)BLOCS, ZONES AND BANDS: INTERNATIONAL MONETARY HISTORY IN LIGHT OF RECENT THEORETICAL DEVELOPMENTS (1996)The Gold Standard as a “Good Housekeeping Seal of Approval” (1996)The Nature of the Firm (1937)Is the World Oil Market “One Great Pool†?* (1991)Open Access and the Evolution of the U. S. Spot Market for Natural Gas (1994)Chapter 17 Spatial price analysis (2001)Researches into the Mathematical Principles of the Theory of Wealth (2020)On the Behaviour of Commodity Prices (1992)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Real Effects of Information Frictions: When the States and the Kingdom Became United (2018)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)
this work references cited by second hop

References

  • 1977Formulation and estimation of stochastic frontier production function models10,191 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1983Transaction costs and the small firm effect438 cited
  • 1986On the Extent of the Market: Wholesale Gasoline in the Northeastern United States142 cited
  • 1984Violations of the Gold Points, 1890-190873 cited
  • 1986The Efficiency of the Dollar-Sterling Gold Standard, 1890-190873 cited
  • 1986Testing deviations from purchasing power parity19 cited

Cited by

  • 2011The integration of China into the world crude oil market since 199859 cited
  • 2007The pitfalls of estimating transactions costs from price data: Evidence from trans-Atlantic gold-point arbitrage, 1886–190554 cited
  • 2009Storage, Slow Transport, and the Law of One Price: Theory with Evidence from Nineteenth-Century U.S. Corn Markets52 cited

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