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Portfolio Return Autocorrelation

Опубликовано на портале: 25-10-2007
Journal of Financial Economics. 1993.  Vol. 34. No. 3. P. 307-334. 
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.

Полный текст данной статьи можно найти в библиотеке Science Direct

Efficiency; Microstructure; Mispricing; Portfolio