Asset Prices and Trading Volume under Fixed Transactions Costs
Top Cited Papers
- 1 October 2004
- journal article
- Published by University of Chicago Press in Journal of Political Economy
- Vol. 112 (5) , 1054-1090
- https://doi.org/10.1086/422565
Abstract
No abstract availableThis publication has 38 references indexed in Scilit:
- Price, trade size, and information in securities marketsPublished by Elsevier ,2002
- Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and ReservesMathematical Finance, 2000
- Portfolio optimisation with strictly positive transaction costs and impulse controlFinance and Stochastics, 1998
- Transaction Costs and Asset Prices: A Dynamic Equilibrium modelThe Review of Financial Studies, 1998
- MARKET STRUCTURE, SECURITY PRICES, AND INFORMATIONAL EFFICIENCYMacroeconomic Dynamics, 1997
- Arbitrage With Holding Costs: A Utility‐Based ApproachThe Journal of Finance, 1992
- Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated WorldThe Review of Financial Studies, 1992
- An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions CostsThe Journal of Finance, 1991
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption GoodsEconometrica, 1990
- The Transactions Demand for Cash: An Inventory Theoretic ApproachThe Quarterly Journal of Economics, 1952