Pii: S1059-0560(99)00019-2
نویسنده
چکیده
This article constructs an economic model of a rational trader who operates in a market with transaction costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a result, trading volume (through its effect on marginal cost) is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model. 1999 Elsevier Science Inc. All rights reserved. JEL classification: G12; G14
منابع مشابه
Pii: S1059-0560(99)00028-3
Okun’s coefficient is estimated from U.S. quarterly data covering the period 1947:1–1992:2. The cyclical components of unemployment and output are extracted by smoothing using the Kalman filter as applied to Harvey’s structural time series model. The estimated Okun’s coefficient is around 20.38 irrespective of the whether the model used is static or dynamic and irrespective of the lag length in...
متن کاملPii: S1059-0560(99)00011-8
We present a model of the propagation process of bank runs. A bank failure alone is not sufficient to trigger a panic. In accord with the empirical evidence, runs become contagious only during periods of macroeconomic instability. In addition, we make a clear distinction between illiquidity and insolvency as possible causes of bank failures. We also show that, despite the possibility of runs, t...
متن کاملPii: S1059-0560(99)00003-9
Intertemporal budget policies are assessed in an endogenous growth model with nominal assets. The paper provides relative rankings of policies and policy instruments in terms of the tax liabilities of the private sector necessary to guarantee intertemporal government budget solvency and in terms of the welfare of the representative agent. The role of nominal assets is shown to be of relative im...
متن کاملPii: S1059-0560(99)00014-3
This paper investigates a vertical market structure called joint ownership, where a monopolistic upstream firm is jointly owned and operated by competing downstream firms. As such, a common interconnection price to an upstream bottleneck is determined by bargaining among the downstream firms. We show that (1) joint ownership can be superior to the other ownership structures by overcoming vertic...
متن کاملPii: S1059-0560(99)00038-6
This article examines the performance of 85 UK unit trusts with North American investment objectives between January 1985 and December 1996 using unconditional and conditional performance measures. The paper finds that, on average, the trusts register insignificant performance to each of the respective benchmark portfolios. In addition there is no evidence of any predictability in performance. ...
متن کامل