The Importance of Investor Heterogeneity And Financial Market Imperfections for

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The Importance of Investor Heterogeneity And Financial Market Imperfections for
John Eaton
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24 implicit in this analysis is a holding period that corresponds to the data frequency of monthly or quarterly intervals. As in Constantinides (1986), for longer assumed holding periods transactions costs are incurred lesj frequently and hence have less effect on the volatility bounds.
B. Direct Evidence on Transactions Costs There is a small but growing body of direct evidence that measured transactions costs have explanatory power for asset prices. This line of research is of particular impo
...rtance because of the ambiguity in the theoretical literature on the magnitude of the predicted effects. To date surprisingly few authors have taken this approach, perhaps because of the difficulty in obtaining reliable transactions cost data as discussed above.
To generate testable predictions about the effect of the bid/ask spread on asset returns, Amihud and Mendelson (1986) consider a model with stochastic liquidity shocks in which the mean time to portfolio liquidation varies across investor types.


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