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Nonlinear adjustment of investors' holding periods for common stocks in the presence of unobserved transaction costs : evidence from the UK equity market

Boinet, Virginie; Gregoriou, A.; Ioannidis, Christos - In: Applied financial economics 18 (2008) 13/15, pp. 1221-1231

Persistent link: https://www.econbiz.de/10003760256

Monetary policy shocks and stock returns : evidence from the British market

Gregoriou, A.; Kontonikas, A.; MacDonald, Ronald; … - 2006

Persistent link: https://www.econbiz.de/10003387600

Monetary policy shifts and stock returns : evidence from UK panel data

Gregoriou, A.; Kontonikas, A.; MacDonald, Ronald; … - In: Stock returns : cyclicity, prediction and economic …, (pp. 201-209). 2009

Persistent link: https://www.econbiz.de/10003945027

Monetary policy shocks and stock returns : evidence from the British market

Gregoriou, A.; Kontonikas, A.; MacDonald, Ronald; … - In: Financial markets and portfolio management 23 (2009) 4, pp. 401-410

Persistent link: https://www.econbiz.de/10003903072

Heterogeneous Time Varying Transaction Costs and Asset Pricing in International Equity Markets

Gregoriou, Andros - 2010

In this paper, we examine the time variation in transaction costs relative to excess returns, in a panel consisting of 10 international equity indices over the time period 1984–2005. This is undertaken by extending the consumption CAPM (CCAPM) model proposed by Campbell and Shiller (Rev....

Persistent link: https://www.econbiz.de/10013142109