Price Impact Costs and the Limit of Arbitrage
Preprint
- 1 January 2002
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
This paper investigates whether one can profit from the size, book-to-market, or momentum anomaly, when price-impact costs are taken into account. A non-lineaKeywords
All Related Versions
This publication has 28 references indexed in Scilit:
- Predicting Equity LiquiditySSRN Electronic Journal, 2000
- Optimal control of execution costsJournal of Financial Markets, 1998
- Transparency and Liquidity: A Study of Block Trades on the London Stock Exchange under Different Publication RulesThe Journal of Finance, 1996
- The Behavior of Stock Prices Around Institutional TradesThe Journal of Finance, 1995
- Price Continuity Rules and Insider TradingJournal of Financial and Quantitative Analysis, 1995
- Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 1993
- Measuring the Information Content of Stock TradesThe Journal of Finance, 1991
- Order Imbalances and Stock Price Movements on October 19 and 20, 1987The Journal of Finance, 1989
- The relationship between earnings' yield, market value and return for NYSE common stocksJournal of Financial Economics, 1983
- The relationship between return and market value of common stocksJournal of Financial Economics, 1981