Asset Prices and Trading Volume under Fixed Transactions Costs

By Andrew W. Lo, Harry Mamaysky, Jiang Wang. Journal of Political Economy, 2004

308 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cb567af6173f72704e33cd3d7f6077187039c509

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Turan G. Bali
2. Yi Tang
3. Lasse Heje Pedersen
4. Yannan Shen
5. Guillaume Rocheteau
6. Haim Mendelson
7. Lin Peng
8. Richard Stanton

In Economics and Econometrics

1. Yi Tang
2. Turan G. Bali
3. Ricardo Lagos
4. Guillaume Rocheteau
5. Y. Amihud
6. Haim Mendelson
7. Yannan Shen
8. Lasse Heje Pedersen

In Finance

1. Turan G. Bali
2. Yi Tang
3. Lasse Heje Pedersen
4. Yannan Shen
5. Haim Mendelson
6. Guillaume Rocheteau
7. Y. Amihud
8. Lin Peng

Citations in the corpus

• A Search-Based Theory of the On-the-Run Phenomenon (2006, unknown): “(See, for example, Amihud and Mendelson (1986), Constantinides (1986), Aiyagari and Gertler (1991), Heaton and Lucas (1996), Vayanos (1998), Vayanos and Vila (1999), Huang (2003), and Lo, Mamaysky, and Wang (2004).)”
• Corporate Yield Spreads and Bond Liquidity (2007, unknown): “Building on that work, Lo, Mamaysky, and Wang (2004) further argue that liquidity costs inhibit the frequency of trading.”
• A Liquidity-Based Theory of Closed-End Funds (2009, background): “... and Subrahmanyam (1996), Campbell, Grossman, and Wang (1993), Chatterjee and Corbae (1992), Chordia, Roll, and Subrahmanyam (2000), Constantinides (1986), Eisfeldt (2004), Glaeser and Kallal (1997), Glosten and Milgrom (1985), Grossman and Miller (1988), Heaton and Lucas (1996), Hirshleifer (198”
• Dynamic Trading with Predictable Returns and Transaction Costs (2013, unknown): “3 Equilibrium models with trading costs include Amihud and Mendelson (1986), Vayanos (1998), Vayanos and Vila (1999), Lo, Mamaysky, and Wang (2004), and Gˆarleanu (2009), as well as Acharya and Pedersen (2005), who also consider time-varying trading costs.”
• Speculation and Hedging in Segmented Markets (2014, unknown): “Similar formulations of hedging motives also appear in Grossman-Stiglitz (1980)–type models—for example, Duffie and Rahi (1995), Lo, Mamaysky, and Wang (2004), Watanabe (2008), Biais, Bossaerts, and Spatt (2010) and Huang and Wang (2010).”
• Liquidity Premia and Transaction Costs (2007, background): “Lo, Mamaysky, and Wang (2004) study the effect of fixed transaction costs on asset prices and find that even small fixed costs can give rise to significant illiquidity discounts on asset prices.”
• Liquidity Shocks and Stock Market Reactions (2014, background): “…investigate the relation between liquidity and asset prices include Amihud and Mendelson (1986), Constantinides (1986), Heaton and Lucas (1996), Vayanos (1998), Duffie, Garleanu, and Pedersen (2000, 2003), Huang (2003), Garleanu and Pedersen (2004), and Lo, Mamaysky, and Wang (2004), among others.”
• Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (2011, unknown): “relationship between multi-beta asset pricing and mean-variance efficiency of some combination of benchmark portfolios is well-established (see Merton (1973) for an early treatment and Cochrane (2005b, Ch.”