Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume /
The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader's marginal cost of transacting; as a r...
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| Fformat: | Cylchgrawn |
| Iaith: | English |
| Cyhoeddwyd: |
Washington, D.C. :
International Monetary Fund,
1994.
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| Cyfres: | IMF Working Papers; Working Paper ;
No. 1994/126 |
| Mynediad Ar-lein: | Full text available on IMF |
| Crynodeb: | The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader's marginal cost of transacting; as a result, trading volume is a source of risk. This engenders an equilibrium relationship between returns and volume. The model also provides a simple way to scrutinize this relationship empirically. Empirical evidence supports the implications of the model. |
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| Disgrifiad o'r Eitem: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Disgrifiad Corfforoll: | 1 online resource (36 pages) |
| Fformat: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Mynediad: | Electronic access restricted to authorized BRAC University faculty, staff and students |