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Equilibrium Asset Pricing with Transaction Costs
16 references·2 citing·32 second hop
Equilibrium Asset Pricing with Transaction Costs (2019)Equilibrium Asset Pricing with Transactio…Dynamic Trading with Predictable Returns and Transaction Costs (2013)Dynamic Trading with Predicta…Evaluating the effects of incomplete markets on risk sharing nad asset pricing (2010)Evaluating the effects of inc…Asset Prices and Trading Volume under Fixed Transactions Costs (2004)Asset Prices and Trading Volu…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)Trading Volume: Definitions, …Transaction Costs and Asset Prices: A Dynamic Equilibrium model (1998)Transaction Costs and Asset P…Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Market microstructure and ass…Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing (1996)Evaluating the Effects of Inc…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…Continuous Exponential Martingales and BMO (1994)Continuous Exponential Martin…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Asset pricing with general transaction costs: Theory and numerics (2021)Asset pricing with general tr…Liquidity in Competitive Dealer Markets (2018)Liquidity in Competitive Deal…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection in Stochastic Environments (2006)Common stock repurchases (1981)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Common risk factors in the returns on stocks and bonds (1993)Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity and stock returns: An alternative test (1998)Commonality in liquidity (2000)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Liquidity Risk and Expected Stock Returns (2001)Dynamic Volume-Return Relation of Individual Stocks (2002)Understanding commonality in liquidity around the world (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Optimal control of execution costs (1998)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1996Market microstructure and asset pricing: On the compensation for illiquidity in stock returns1,555 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2000Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory694 cited
  • 1996Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing650 cited
  • 2010Evaluating the effects of incomplete markets on risk sharing nad asset pricing586 cited
  • 2013Dynamic Trading with Predictable Returns and Transaction Costs563 cited
  • 1998Transaction Costs and Asset Prices: A Dynamic Equilibrium model440 cited
  • 1994Continuous Exponential Martingales and BMO422 cited

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2004
Asset Prices and Trading Volume under Fixed Transactions Costs
346 cited

Cited by

  • 2021Asset pricing with general transaction costs: Theory and numerics20 cited
  • 2018Liquidity in Competitive Dealer Markets20 cited