交易成本、频繁交易和股票价格

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2022.100775

Sergey Isaenko

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引用次数: 0

摘要

我考虑了二次交易成本对股票价格的影响。对于投资者来说，在存在此类成本的情况下，经常以相对较小的金额进行交易是最佳的。与之前的论文报道的交易成本对风险溢价的最强影响约为百分之几相反，我发现，如果投资者具有足够的异质性，这种影响可能约为几十%。在存在交易成本的情况下频繁交易会显著改变投资者需求的异质性，从而产生显著的流动性溢价。

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Transaction costs, frequent trading, and stock prices

I consider the effects of quadratic transaction costs on stock prices. It is optimal for investors to trade frequently with relatively small amounts in the presence of such costs. Contrary to previous papers that report that the strongest effects that transaction costs can have on the risk premium are of the order of a few percent, I find that the effects could be of the order of tens of percent conditioned that investors are sufficiently heterogeneous. Frequent trading in the presence of transaction costs substantially changes heterogeneity in demands across investors, resulting in a significant liquidity premium.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.