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ERIC Number: EJ696601
Record Type: Journal
Publication Date: 2004-Oct-1
Pages: 37
Abstractor: Author
ISBN: N/A
ISSN: ISSN-0022-3808
Asset Prices and Trading Volume under Fixed Transactions Costs.
Lo, Andrew W.; Mamaysky, Harry; Wang, Jiang
Journal of Political Economy, v112 n5 p1054 Oct 2004
We propose a dynamic equilibrium model of asset prices and trading volume when agents face fixed transactions costs. We show that even small fixed costs can give rise to large "no-trade" regions for each agent's optimal trading policy. The inability to trade more frequently reduces the agents' asset demand and in equilibrium gives rise to a significant illiquidity discount in asset prices.
Descriptors: Costs, Chemistry
University of Chicago Press, Journals Division, P.O. Box 37005, Chicago, IL 60637. Tel: 773-753-3347; Web site: http://www.journal.uchicago.edu; e-mail: subscriptions@press.uchicago.edu
Publication Type: Journal Articles
Education Level: N/A
Audience: N/A
Language: N/A
Sponsor: N/A
Authoring Institution: N/A