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Transaction costs and predictability : some utility cost calculations

Balduzzi, Pierluigi; Lynch, Anthony W. - In: Journal of financial economics 52 (1999) 1, pp. 47-78

Persistent link: https://www.econbiz.de/10001387776

Predictability and transaction costs : the impact on rebalancing rules and behavior

Lynch, Anthony W.; Balduzzi, Pierluigi - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 2285-2309

Persistent link: https://www.econbiz.de/10001524436

Explaining the magnitude of liquidity premia : the roles of return predictability, wealth shocks and state-dependent transaction costs

Lynch, Anthony W.; Tan, Sinan - 2004

Persistent link: https://www.econbiz.de/10002499194

Explaining the magnitude of liquidity premia : the roles of return predictability, wealth shocks, and state-dependent transaction costs

Lynch, Anthony W.; Tan, Sinan - In: The journal of finance : the journal of the American … 66 (2011) 4, pp. 1329-1368

Persistent link: https://www.econbiz.de/10009267672

Multiple risky assets, transaction costs, and return predictability : allocation rules and implications for US investors

Lynch, Anthony W.; Tan, Sinan - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 4, pp. 1015-1053

Persistent link: https://www.econbiz.de/10008758049

Explaining the Magnitude of Liquidity Premia : The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs

Lynch, Anthony W. - 2004

The seminal work of Constantinides (1986) documents how, when the risky return is calibrated to the U.S. market return, the impact of transaction costs on per-annum liquidity premia is an order of magnitude smaller than the cost rate itself. A number of recent papers have formed portfolios...

Persistent link: https://www.econbiz.de/10012467693