具有递归效用的投资组合问题中交易成本效应的检验

IF 1.8 3区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Econometrics Pub Date : 2023-05-22 DOI:10.1093/jjfinec/nbad015

Marine Carrasco, N’Golo Koné

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引用次数: 0

摘要

摘要本文研究了股票市场中存在交易成本的投资组合选择问题。更准确地说，我们开发了一种基于简单广义矩量法(GMM)的检验程序来检验交易成本效应在具有灵活交易成本形式的经济体中的显著性。我们还提出了一个两步程序来测试我们的GMM估计中的过度识别限制。在实证分析中，我们将测试程序应用于Novy-Marx和Velikov(2016)中使用的异常类。我们发现，交易成本对许多异常情况下的投资者行为有显著影响。在这种情况下，投资者通过考虑交易成本，显著提高了其投资组合的样本外表现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility

Abstract This article addresses a portfolio selection problem with trading costs on stock market. More precisely, we develop a simple generalized method of moments (GMM)-based test procedure to test the significance of trading costs effect in the economy with a flexible form of transaction costs. We also propose a two-step procedure to test overidentifying restrictions in our GMM estimation. In an empirical analysis, we apply our test procedures to the class of anomalies used in Novy-Marx and Velikov (2016). We show that transaction costs have a significant effect on investors’ behavior for many anomalies. In that case, investors significantly improve the out-of-sample performance of their portfolios by accounting for trading costs.

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来源期刊

Journal of Financial Econometrics Multiple-

CiteScore

5.60

自引率

8.00%

发文量

期刊介绍： "The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."