Portfolio Return Autocorrelation
Опубликовано на портале: 25-10-2007
Journal of Financial Economics.
1993.
Vol. 34.
No. 3.
P. 307-334.
Тематические разделы:
This paper investigates whether portfolio return autocorrelation can be explained
by time-varying expected returns, nontrading, stale limit orders, market maker inventory
policy, or transaction costs. Evidence is consistent with the hypothesis that transaction
costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost
model which predicts that prices adjust faster when changes in valuation are large
in relation to the bid-ask spread. Cross-sectional tests support
this prediction, but time-series tests do not.
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